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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.

Finance: General --- Investments: General --- Investments: Bonds --- Portfolio Choice --- Investment Decisions --- Information and Market Efficiency --- Event Studies --- Financial Institutions and Services: General --- General Financial Markets: General (includes Measurement and Data) --- Finance --- Investment & securities --- Liquidity --- Securities markets --- Liquidity indicators --- Securities --- Sovereign bonds --- Asset and liability management --- Financial markets --- Liquidity management --- Financial institutions --- Economics --- Capital market --- Financial instruments --- Bonds --- Mexico

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The COVID-19 crisis may lead to a series of costly and inefficient sovereign debt restructurings. Any such restructurings will likely take place during a period of great economic uncertainty, which may lead to protracted negotiations between creditors and debtors over recovery values, and potentially even relapses into default post-restructuring. State-contingent debt instruments (SCDIs) could play an important role in improving the outcomes of these restructurings.

State bankruptcy. --- Asset and liability management --- Bonds --- Business and Economics --- Climate --- Communicable diseases --- Covid-19 --- Debt Management --- Debt restructuring --- Debt service --- Debt --- Debts, External --- Diseases: Contagious --- Economic & financial crises & disasters --- Economics of specific sectors --- Economics: General --- Environment --- Finance --- Financial crisis --- Financial institutions --- Financial instruments --- Financial Risk Management --- General Financial Markets: General (includes Measurement and Data) --- Global Warming --- Governmental Loans, Loan Guarantees, Credits, and Grants --- Health Behavior --- Health --- Infectious & contagious diseases --- International Lending and Debt Problems --- International Monetary Arrangements and Institutions --- Investment & securities --- Investments: Bonds --- Investments: General --- Macroeconomics --- Money and Monetary Policy --- Natural Disasters and Their Management --- Natural Disasters --- Natural disasters --- Public enterprises --- Securities --- Sovereign debt defaults --- Sovereign debt restructuring --- Sovereign Debt --- Barbados