Mexico_debt

title: “Bond Flows and Liquidity: Do Foreigners Matter?” collection: publications permalink: /publication/2020-03-20-mexico_debt date: 2019-12-15 #venue: ‘Journal 1’ paperurl: ‘https://doi.org/10.1016/j.jimonfin.2021.102397’ citation: ‘Christensen, Jens H. E., Eric Fischer, Patrick Shultz. 2021. "Bond Flows and Liquidity: Do Foreigners Matter?" Journal of International Money and Finance ’

— In their search for yield in the current low interest rate environment, many investors have turned to sovereign debt in emerging economies, which has raised concerns about risks to financial stability from these capital flows. To assess this risk, we study the effects of changes in the foreign-held share of Mexican sovereign bonds on their liquidity premiums. We find that recent increases in foreign holdings of these securities have played a significant role in driving up their liquidity premiums.

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Recommended citation: Christensen, Jens H. E., Eric Fischer, Patrick J. Shultz. 2021. “Bond Flows and Liquidity: Do Foreigners Matter?” Journal of International Money and Finance, Volume 117, 2021