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 …

Quantitative easing could improve market liquidity through many channels such as relaxing bank funding constraints …, increasing risk appetite, and facilitating trades. However, it can also reduce market liquidity when the increase in the central …) effects of the Bank of Japan (BOJ)'s JGB purchases on market liquidity. Moreover, we also find evidence that such scarcity …

Much recent commentary suggests that global liquidity has influenced financial conditions in the major international … markets to an important degree, and that excess liquidity in one financial center can influence financial conditions elsewhere …. Little formal research has addressed these issues, however. In this paper, we use three indexes of liquidity (money growth …

This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international … financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity …

coincided with a significant rise in global liquidity. This paper attempts to determine the extent to which the rise in asset … prices was influenced by developments in global liquidity. We confirm that global liquidity had a significant impact on the … impact of global liquidity declined during the period of the Great Moderation. The paper also examines spillovers from global …

GSIBs and GSIIs, using publicly-available daily equity returns and intra-day volatility data from October 2007 to August … 2016. Results reveal strong regional clusters of return and volatility connectedness amongst GSIBs and GSIIs. Compared to …