Government bond markets are pivotal for the functioning of the financial system, the trans-mission of monetary policy, and economic stability; investors, moreover, consider government bonds as a safe haven, and such bonds also influence bank liquidity creation. Since the global financial crisis, issuance has surged in advanced economies. While government bonds are typically characterized by high liquidity levels, recent events like the March 2020 ‘dash for cash’ and the September 2022 UK Gilt crisis showed that also these markets may be subject to liquidity shocks. Changes in market structure, such as the shift from bank-centric to hybrid models and technological advancements, may have increased the sensitivity of government bond markets to stress. Against this background, Banca d’Italia and Bundesbank initiated a joint project to analyse German and Italian government bond markets using granular data across cash, repo, and futures segments. […]