## Who Drains Bond Market Liquidity in an Emerging Market?

_IMF Working Papers, July 24, 2020_

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## Bibliographic details
- 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

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### Key findings
- 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.

### Data and methodology
- 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 and keywords
- 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.

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_Source: https://www.imf.org/en/publications/wp/issues/2020/07/24/who-drains-bond-market-liquidity-in-an-emerging-market-49585_