The “taper tantrum” of 2013 is often invoked as an example. This saw a rapid rise in bond yields in a number of emerging markets following indications that the Fed was going to wind down its quantitive easing program.
As I said last year, I think the issue is not so much one of a decline in liquidity as much as a decline in the capacity to warehouse risk. In the past, when there was a large sell-off in bond markets, liquidity was never that great. A bank has no more desire than any other investor to catch a falling knife.