In this paper, I examine the Hungarian government bond market’s liquidity developments in recent years. First, I explain the importance of market liquidity for central bankers. I identify the most significant economic shocks and their impacts on the market by using various market indicators. The changes in the Hungarian pension system strongly affected the ownership structure of the government bond market, and raised the amount held by non-residents. A simple yield decomposition shows that while during the crisis of 2008–2009, the Hungarian sovereign bond yields were enhanced principally by the increase of the credit and liquidity risk premia, the crisis of 2011–2012 might increase credit risk premium, but increase liquidity risk premium less significantly.
Allen, F. - Carletti, E. - Gale, D. (2009): Interbank market liquidity and central bank intervention. Journal of Monetary Economics 56(5): 639–652.
Gale D, 'Interbank market liquidity and central bank intervention' (2009) 56Journal of Monetary Economics: 639-652.
Gale DInterbank market liquidity and central bank interventionJournal of Monetary Economics200956639652)| false
Turner, P (2009): How Have Local Currency Bond Markets in EMEs Weathered the Financial Crisis? Presented at the Deutsche Bundesbank 2nd International Workshop on Lessons of the crisis and progress made in developing local currency bond markets in EMEs and developing countries, 12–13 November, Frankfurt.
Turner P, '', in How Have Local Currency Bond Markets in EMEs Weathered the Financial Crisis?, (2009) -.
Turner PHow Have Local Currency Bond Markets in EMEs Weathered the Financial Crisis?2009)| false