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Since the start of the global financial crisis in 2007, investors have not only become very risk averse, they have also been focusing their attention on the liquidity of investments. According to the liquidity preference theory, yields include a risk premium which compensates investors for the increase in uncertainty and increases as it nears maturity, giving an upward bias to the yield curve and a tendency for an upward slope of the yield curve. The gradient of a government bond yield curve expresses the perceived long-term risk profile of a country. Market liquidity or illiquidity is important for investors when trying to construct efficient portfolios. During uncertain times, investors tend to focus on the most liquid asset classes. Since the beginning of the sovereign debt crisis in the eurozone, investors have started to focus their investment activities in government bonds in safe-haven markets outside the region (i.e. Sweden, Switzerland, and UK) but also inside the eurozone (i.e. Finland, France, Germany, and the Netherlands) while avoiding government bonds in peripheral markets (i.e. Greece, Ireland, Italy, Portugal, and Spain). Sovereign debt downgrades by ratings agencies resulted in further market illiquidity in peripheral bond markets.
Source : UBS AG