01928cas a2200277 a 4500 AALejournalIMF021108 230101c9999 xx r poo 0 0eng d 5.00 USD 9781513550824 1018-5941 BD-DhAAL BD-DhAAL Hoyos, Ricardo. Who Drains Bond Market Liquidity in an Emerging Market? / Ricardo Hoyos, Yang Liu, Hui Miao, Christian Saborowski. Washington, D.C. : International Monetary Fund, 2020. 1 online resource (32 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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. We find that liquidity remained stable in recent years, although temporary shortages arose amid domestic and global market stress. The analysis suggests that the largest liquidity squeezes have tended to be driven by foreign investors, whose sell-offs were especially pronounced in less liquid market segments. While domestic banks often absorbed part of the shock, other domestic investors-with the notable inclusion of domestic pension and mutual funds-appeared to take a more opportunistic stance depending on the nature of the shock. Mode of access: Internet Liu, Yang. Miao, Hui. Saborowski, Christian. IMF Working Papers; Working Paper ; No. 2020/141 Full text available on IMF http://elibrary.imf.org/view/journals/001/2020/141/001.2020.issue-141-en.xml IMF e-Library