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 investment 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 a decade-long increase in foreign holdings of these securities have played a significant role in driving up their liquidity premiums. Provided the higher compensation for bearing liquidity risk is commensurate with the chance of a major foreign-led sell-off in the Mexican government bond market, this development may not pose a material risk to its financial stability.

在当前低利率环境下寻求收益的过程中，许多投资者转向新兴经济体的主权债务，这引发了对这些投资流动对金融稳定风险的担忧。为了评估这种风险，我们研究了外国持有的墨西哥主权债券份额的变化对其流动性溢价的影响。我们发现，外国持有这些证券长达十年之久，在推高其流动性溢价方面发挥了重要作用。如果承担流动性风险的更高补偿与外国主导的墨西哥政府债券市场大规模抛售的可能性相称，则这种发展可能不会对其金融稳定构成重大风险。