{
  "title": "Who Drains Bond Market Liquidity in an Emerging Market?",
  "publication": "IMF Working Papers, July 24, 2020",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2020/07/24/who-drains-bond-market-liquidity-in-an-emerging-market-49585",
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  "summary": "This paper examines the drivers of liquidity shortages in the Mexican government bond market. We use unique transaction- and quote level data with information on end-investors to construct an index of bond market liquidity.",
  "sections": [
    {
      "heading": "Key findings",
      "content": "- Liquidity in the Mexican government bond market remained stable in recent years, although temporary shortages arose amid domestic and global market stress.\n- The largest liquidity squeezes have tended to be driven by foreign investors, whose sell-offs were especially pronounced in less liquid market segments.\n- Domestic banks often absorbed part of the shock.\n- Other domestic investors—including domestic pension and mutual funds—appeared to take a more opportunistic stance depending on the nature of the shock."
    },
    {
      "heading": "Data and methodology",
      "content": "- Constructed an index of bond market liquidity using unique transaction- and quote-level data with information on end-investors.\n- Analysis focuses on drivers of liquidity shortages in the Mexican government bond market."
    },
    {
      "heading": "Subjects and keywords",
      "content": "- Subjects: Asset and liability management; Financial institutions; Financial markets; Liquidity; Liquidity indicators; Liquidity management; Securities; Securities markets; Sovereign bonds.\n- Keywords: benchmark securities; bond market liquidity; Global; Liquidity; liquidity depletion; liquidity index; liquidity indicator; Liquidity management; liquidity shortage; liquidity stress; Securities; Securities markets; Sovereign bonds; WP.\n\n---\n\n Content in this bundle\n\n- Working Paper\n  - Working Paper (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Working Paper (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2020/07/24/who-drains-bond-market-liquidity-in-an-emerging-market-49585"
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    "Authors: Ricardo Hoyos, Yang Liu, Hui Miao, Christian Saborowski",
    "Published: July 24, 2020",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781513550824.001",
    "Liquidity in the Mexican government bond market remained stable in recent years, although temporary shortages arose amid domestic and global market stress.",
    "The largest liquidity squeezes have tended to be driven by foreign investors, whose sell-offs were especially pronounced in less liquid market segments.",
    "Domestic banks often absorbed part of the shock.",
    "Other domestic investors—including domestic pension and mutual funds—appeared to take a more opportunistic stance depending on the nature of the shock.",
    "Constructed an index of bond market liquidity using unique transaction- and quote-level data with information on end-investors.",
    "Analysis focuses on drivers of liquidity shortages in the Mexican government bond market.",
    "Subjects: Asset and liability management; Financial institutions; Financial markets; Liquidity; Liquidity indicators; Liquidity management; Securities; Securities markets; Sovereign bonds.",
    "Keywords: benchmark securities; bond market liquidity; Global; Liquidity; liquidity depletion; liquidity index; liquidity indicator; Liquidity management; liquidity shortage; liquidity stress; Securities; Securities markets; Sovereign bonds; WP.",
    "**Working Paper**"
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