Hoyos, Ricardo; Liu, Yang; Miao, Hui; Saborowski, Christian - 2020
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 …