## figure1-sf-3

## Source details

**Canonical URL:** [figure1-sf-3](https://www.imf.org/-/media/files/publications/gfsr/2019/april/english/ch1data/charts/figure1-sf-3.pdf)

## Other formats

- [Markdown version](/-/media/files/publications/gfsr/2019/april/english/ch1data/charts/figure1-sf-3.pdf.md)
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### Overview
- Title: Figure 1.SF.3. Prevalence of Jumps and Liquidity Strain in Advanced and Emerging Markets
- Data coverage and frequency:
  - September 2018–March 2019 (panels 2–6)
  - Panel 1: EM and AE Average (Percent; 10-day moving average)
  - Panels show country/market dots and triangles where indicated
- Terminology and measurement notes:
  - “Jumps” refer collectively to finite activity (large) and infinite activity (small) price jumps.
  - Uncovering significant evidence of infinite activity jumps in intraday data is interpreted as suggestive of liquidity strain.
  - In panel 6, “risk-off proxy” is the second principal component of US Treasury 10-year yields and US dollar index, both in levels.
  - Sov. bonds = sovereign bonds.
- Sources: Bloomberg Finance L.P.; and IMF staff calculations.

### Key findings and patterns (by panel or theme)
- Panel 1 — Proportion of Intraday Price Variability Explained by Jumps:
  - EM and AE Average (Percent; 10-day moving average)
  - Numeric markers present in the figure: 1.0, 1.5, 2.0, 2.5, 3.0
- Panel 2 — Proportion of Jumps versus Liquidity Strain:
  - Index and percent; September 2018–March 2019; dots and triangles denote individual countries or markets
  - Observations include market-by-market dispersion (no aggregate average provided in text)
- Panel 3 — Average Frequency of Liquidity Strained Days:
  - Number of days per month; September 2018–March 2019; dots denote individual countries or markets
  - Statement: “The frequency of liquidity strain in sovereign bond markets seems to have increased over the past six months.”
  - Time labels visible: Sep. 18, Oct. 18, Nov. 18, Dec. 18, Jan. 19, Feb. 19, Mar. 19
  - Numeric ticks visible: 0, 10, 20, 30, 40, 50
- Panel 4 — Average Frequency of Liquidity Strained Days across Markets:
  - Number of days per week; solid lines denote four-week moving averages
  - Numeric markers visible: 0, 12
- Panel 5 — Frequency of Liquidity Strain in Equities versus Turnover Ratio:
  - Z-score and number of days per week; September 2018–March 2019
  - Turnover ratio (z-score) numeric markers visible: –0.4, 0.8, 1.2
  - Relationship shown between turnover ratio and number of liquidity strained days per week (equities)
- Panel 6 — Frequency of Liquidity Strain in Sovereign Bonds versus a Proxy for the Risk-Off Periods:
  - Index and number of days per week; September 2018–March 2019
  - Risk-off proxy numeric markers visible: –1.8, –1.5, –1.2, –0.9, –0.6, –0.3, 0.0, 0.3
  - Relationship shown between risk-off proxy and number of liquidity strained days per week (sov. bonds)

### Comparative and quantitative statements extracted directly
- “The frequency of liquidity strained days has been higher in emerging markets than in advanced economies during September 2018–March 2019.”
- “Sovereign bond markets seem to be more prone to liquidity strains than equity markets, especially in emerging market economies.”
- Numeric values visible in the figure annotations and axes (preserved exactly as shown):
  - 0, 0.0, 0.2, 0.3, 0.4, 0.6, 0.8, 1.0, 1.2
  - 0, 2, 4, 6, 8, 10
  - 0, 12
  - 0, 10, 20, 30, 40, 50
  - –1.8, –1.5, –1.2, –0.9, –0.6, –0.3, 0.0, 0.3
  - –1.5, –1.0, –0.5, 0.0, 0.5, 1.0, 1.5
  - 0.3, 1.2, 0.6, 0.9, 1.0
  - 13
  - 2.4
  - 1.7
  - 9.1

### Implications highlighted by the figure
- Liquidity strain signals:
  - Infinite activity jumps in intraday data are interpreted as suggestive of liquidity strain.
  - Frequency of liquidity-strained days correlates with standard liquidity metrics (turnover ratio z-score) and a proxy for risk-off periods (second principal component of US Treasury 10-year yields and US dollar index).
- Market segmentation:
  - Emerging markets (EM) display higher frequency of liquidity strained days than advanced economies (AE) in the sample period.
  - Sovereign bonds exhibit more frequent liquidity strains than equities, particularly in EM.

*Sources: Bloomberg Finance L.P.; and IMF staff calculations.*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2019/april/english/ch1data/charts/figure1-sf-3.pdf_