Gelişmekte olan piyasaların yerel para cinsinden bono likiditeleri: Ölçüm, ortak özellikler ve risk sermayesi arzı

Major emerging markets sovereigns have started financing a significant component of their budget deficits issuing local currency (LC) bond, reaching to the total outstanding size over 5 trillion dollar almost half of the size of the US Treasury markets. The current consensus is that LC bond yields are rather rich with respect to benchmark U.S. Treasury rates and the literature argues that this occurs as a compensation two major types of risk: currency (depreciation) risk and credit (default) risk. I contribute to this literature by investigating the role of liquidity risk in these markets. Moreover, we investigate if liquidity risk is specific to the characteristics of the issuing country (thus diversifiable) or rather affected by global effects related to global asset markets (thus un-diversifiable). To address these questions, I build a unique bond-specific data set covering major LC markets until November 2015. I study the role of several liquidity measures in the context of LC bonds to identify potentially different channels of liquidity shock transmission. I find strong evidence that LC bond liquidity i) is a priced-factor, (ii) is state-dependent, and (iii) shows significant commonality across countries. I also document the new evidence that procylical nature of global LC bond funds domiciled in developed countries can destabilize LC bond market liquidity with potential adverse consequences for the LC debt markets. As liquidity provision is an important function in general and crucial in periods of market stress, EM economies that are relying heavily on pro-cyclical investors such as global bond mutual funds should comprehend, how activities of asset managers and their investor base can affect EM economies.