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Towards liquid and resilient government debt markets in EMEs

Author

Listed:
  • Bernardus F Nazar Van Doornik
  • Jon Frost
  • Rafael Guerra
  • Alexandre Tombini
  • Christian Upper

Abstract

Over the last 20 years, government debt markets in emerging market economies (EMEs) have grown and matured. Not only has it become easier for foreign investors to participate in these markets, but also the local investor base has deepened. Our findings show that the investor base and size of hedging markets affect the liquidity and resilience of EME government debt markets. In times of stress, a greater presence of domestic banks helps stabilise liquidity conditions, while domestic and foreign non-banks could propagate external shocks. Countries with more developed hedging markets exhibit more resilient liquidity conditions after major shocks.

Suggested Citation

  • Bernardus F Nazar Van Doornik & Jon Frost & Rafael Guerra & Alexandre Tombini & Christian Upper, 2024. "Towards liquid and resilient government debt markets in EMEs," BIS Quarterly Review, Bank for International Settlements, March.
    • Handle: RePEc:bis:bisqtr:2403e
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    References listed on IDEAS

    as
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    2. Fernando Avalos & Ramon Moreno, 2013. "Hedging in derivatives markets: the experience of Chile," BIS Quarterly Review, Bank for International Settlements, March.
    3. Raphael Schestag & Philipp Schuster & Marliese Uhrig-Homburg, 2016. "Measuring Liquidity in Bond Markets," The Review of Financial Studies, Society for Financial Studies, vol. 29(5), pages 1170-1219.
    4. Bekaert, Geert & Hoerova, Marie, 2014. "The VIX, the variance premium and stock market volatility," Journal of Econometrics, Elsevier, vol. 183(2), pages 181-192.
    5. Patrick McGuire & Goetz von Peter & Sonya Zhu, 2024. "International finance through the lens of BIS statistics: residence vs nationality," BIS Quarterly Review, Bank for International Settlements, March.
    6. Christian Upper & Marcos Valli, 2016. "Emerging derivatives markets?," BIS Quarterly Review, Bank for International Settlements, December.
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    More about this item

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • E63 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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