## figure1-sf-2

## Source details

**Canonical URL:** [figure1-sf-2](https://www.imf.org/-/media/files/publications/gfsr/2019/april/english/ch1data/charts/figure1-sf-2.pdf)

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### Key takeaway
- The standard quantity-based market liquidity measures show some signs of deterioration while price-based measures seem more robust.

### 1. Market liquidity heatmap — broad patterns
- Greater divergence in liquidity conditions across major sovereign bond markets, with increased fragility in some sovereign bond markets.
- Heatmap structure (by market segment and indicator):
  - Equity Markets:
    - Bid-Ask Spread
    - SD of Bid-Ask Spread (footnote 1)
    - Trading Volume
    - Turnover Ratio
    - Return to Volume Ratio
  - Sovereign Bond Markets:
    - Bid-Ask Spread
    - On/Off-the-run Spread
    - SD of Bid-Ask Spread (footnote 1)
    - Trading Volume
    - Turnover Ratio
    - Return to Volume Ratio
  - Corporate Bond Markets:
    - Liquidity Cost Score (bid-ask)
    - Trading Volume
    - Turnover Ratio
    - Average Trade Size
    - US IG
    - US HY
    - Return to Volume Ratio
  - FX Markets:
    - Bid-Ask Spread (EUR versus USD; JPY versus USD; GBP versus USD)
    - SD of Bid-Ask Spread (EUR versus USD; JPY versus USD; GBP versus USD)

### 2. Bloomberg Liquidity Index and related measures
- Bloomberg Liquidity Index is used as a price-based liquidity measure (labelled in figure).
- One-month standard deviation of bid-ask spreads is used as a price-based volatility measure (footnote 1).

### 3. Italy sovereign benchmark bonds — price volatility indicator
- Chart shown: One-month standard deviation of bid-ask spreads in Italy sovereign benchmark bonds (basis points).
- Vertical axis tick values explicitly shown in the figure: 0, 10, 20, 30.
- Horizontal axis years explicitly shown in the figure: 2008 09 10 11 12 14 16 13 15 17 18 19 (as arranged in the figure).

### 4. Sovereign bond markets — longer series context
- Additional axis values and years explicitly shown in the figure for other charts: vertical ticks 0, 50, 100, 150, 200, 250, 300; horizontal axis years 2004 06 08 10 12 14 16 18 (and additional labels 05 07 09 11 13 15 17 19 where present in the figure).

### Notes, data sources, and definitions shown in the figure
- Sources: Barclays Capital; Bloomberg Finance L.P.; Haver Analytics; Japan Bond Trading; JPMorgan Chase & Co.; MarketAxxess; Reuters; Securities Industry and Financial Markets Association; and IMF staff calculations.
- Note details:
  - For panel 1, indicators are based on maximum z-score among regions.
  - Regions for equity markets: the euro area, Japan, and the United States.
  - Regions for sovereign bond markets: Germany, Italy, Japan, the United Kingdom, and the United States.
  - For equities and Japan sovereign bonds, bid-ask spreads are estimated based on Corwin-Schultz (2012).
  - Liquidity Cost Score covers the United States and euro area, and other indicators for corporate bond markets are for the United States.
  - Cash bond data are used for bid-ask and on/off-the-run spreads, and futures market data are used for trading volume, turnover ratio, and return to volume for sovereign bond markets.
  - FX = foreign exchange; SD = standard deviation; EUR = euro; GBP = British pound; JPY = Japanese yen; USD = US dollar.
- Footnotes shown in the figure:
  - 1 One-month standard deviation of bid-ask spread.
  - 2 Bloomberg Liquidity Index.

*Figure 1.SF.2. Evolution in Market Liquidity — IMF staff figure information as presented in the source PDF.*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2019/april/english/ch1data/charts/figure1-sf-2.pdf_