View the Full Text of the GFSR -- (Preliminary version) (6765KB pdf file) (use the free Adobe Acrobat Reader).
Contents
Joint WEO GFSR | |||
Preface | |||
Executive Summary (550KB pdf file) | |||
Chapter I. The Road to Recovery | |||
---|---|---|---|
Full Text | Boxes | Figures | Tables | Press Points | |||
A. Global Financial Stability Map | |||
B. Challenges on the Road to Recovery for the Global Financial System | |||
C. Emerging Markets Navigate the Global Crisis but Vulnerabilities Remain | |||
D. Will Credit Constraints Hurt the Recovery? | |||
E. Managing the Transfer of Private Risks to Sovereign Balance Sheets | |||
F. Policy Implications | |||
Annex 1.1. Global Financial Stability Map: Construction and Methodology | |||
Annex 1.2. Loan Loss and Bank Writedown Estimation Methodology | |||
Annex 1.3. Estimating Core Bank Earnings | |||
Annex 1.4. Credit Demand and Capacity Estimates in the United States, Euro Area, and the United Kingdom | |||
Annex 1.5. The Impact of the Financial Crisis on the Savings Complex—Insurance and Pensions Funds | |||
References | |||
Chapter II. Restarting Securitization Markets: Policy Proposals and Pitfalls | |||
Full Text | Boxes | Figures | Press Points | |||
The Rise, Decline, and Fall of Securitization | |||
Policy Initiatives Aimed at Restarting Sustainable Securitization | |||
Conclusions and Policy Recommendations | |||
Annex 2.1. Optimal Retention Policy and Capital Requirements | |||
References | |||
Chapter III. Market Interventions during the Financial Crisis: How Effective and How to Disengage? | |||
Full Text | Boxes | Figures | Press Points | |||
Intervention during the Crisis—Market Reaction to Announcements | |||
Follow-Up to Initial Market Reaction—Longer-Term Effects of Intervention | |||
Japan's Experience during the Latter Part of Its "Lost Decade" | |||
Disengagement: A Conventional Primer for Unwinding Unconventional Policies | |||
Conclusions and Policy Takeaways | |||
Annex 3.1. Financial and Economic Stress Indices | |||
Annex 3.2. Event Study Methodology and Data | |||
References | |||
Statistical Appendix(1100KB pdf file) | |||
Key Financial Centers: Figures | Tables | |||
Emerging Markets: Figures | Tables | |||
Financial Soundness Indicators: Tables | |||
Boxes | |||
1.1 | Uncertainty Surrounding Loan Loss Estimations | ||
1.2 | Repairing Securitization Is Critical to Supporting the Supply of Credit | ||
1.3 | Rising Public Deficits, Debts, and Bond Yields | ||
1.4 | Restoring the Level and Quality of Bank Capital | ||
2.1 | The Case for Restarting Securitization | ||
2.2 | Credit Rating Agency Regulatory Developments | ||
2.3 | Re-Remics and the Revival of Resecuritization | ||
Chart | Data | 2.4 | Covered Bond Primer |
2.5 | Accounting for Securitization Exposures | ||
2.6 | Basel II Securitization- and Resecuritization-Related Enhancements | ||
2.7 | Optimal Retention Policies for Loan Securitization | ||
Chart | Data | 3.1 | Usage of Unconventional Central Bank Facilities |
3.2 | Interventions during Japan's 1990s Financial Crisis | ||
3.3 | Excess Reserves as an Indicator of Funding Liquidity Concerns | ||
3.4 | Implications of the Changes on Central Bank Balance Sheets | ||
Tables | |||
Data | 1.1 | Credit Market Spreads | |
Data | 1.2 | Estimates of Global Writedowns by Bank Domicile (2007–10) as of September 2009 | |
Data | 1.3 | Bank Capital, Earnings, and Writedowns | |
1.4 | Heat Map of Macro and Financial Indicators in Selected Emerging Market Countries | ||
Data | 1.5 | Growth of Credit Demand from Nonfinancial Private Sector | |
Data | 1.6 | Total Net Borrowing Needs of Nonfinancial Sectors | |
Data | 1.7 | Projections of Credit Capacity for and Demand from Nonfinancial Sector | |
Data | 1.8 | Selected Spreads: Current and Pre-Lehman Brothers | |
Data | 1.9 | Sensitivity to Common Risk Factor for Euro Area Countries | |
1.10 | Changes in Risks and Conditions since the April 2009 Global Financial Stability Report | ||
Data | 1.11 | OECD Database: Coverage and Degree of Consolidation | |
Data | 1.12 | Statistical Output for the Euro Area Provision Rate Model | |
Data | 1.13 | Forecasts of Euro Area Provision Rates by Loan Type | |
Data | 1.14 | Statistical Output for the U.K Provision Rate Model | |
Data | 1.15 | Cumulative Loss Rates, 2007–10 | |
Data | 1.16 | List of Security Indexes | |
Data | 1.17 | Euro Area Residential Securities Market | |
Data | 1.18 | U.S. Residential Securities Market | |
1.19 | Regression Output on Demand for Nonfinancial Private and Public Sector Credit | ||
Data | 1.20 | Underfunding Is More Serious in Mature U.S. Industries | |
Data | 1.21 | Mandatory Defined-Contribution Pension Assets, Selected Countries | |
Data | 1.22 | Equity Share in Total Portfolios, Selected Countries | |
Data | 1.23 | Real Performance of Mandatory Defined-Contribution Systems, Selected Countries | |
Data | 1.24 | Performance of Default Investment Options, Selected Countries | |
2.1 | Securitization Policy Progress Report | ||
2.2 | United States: Issuance of Asset-Backed and Mortgage-Backed Securities—Average Degree of Tranche Retention | ||
2.3 | Credit Ratings versus Idealized Expected Losses and Basel II Risk Weights | ||
2.4 | Calculation of Tranche Sizes (Steps 1 and 2) with Assumed 20 Percent Effort Level | ||
2.5 | Calculation of Ratings and Risk Weights (Step 3) with 31.2 Percent Effort Level: Mezzanine Tranche Retention | ||
3.1 | Classification of Events | ||
3.2 | Number of Interventions | ||
3.3 | Effectiveness of Crisis Interventions | ||
3.4 | Effectiveness of Crisis Interventions on the Financial Stress Index | ||
3.5 | Efficiency of Financial Sector Policy Measures | ||
3.6 | Three-Month LIBOR-Overnight Index Swap (OIS) Spread: Declines from Peak | ||
3.7 | Supplementary Operations for Managing the Central Bank Balance Sheet | ||
3.8 | Reversibility and Impact of Financial Sector Measures | ||
Figures | |||
Data | 1.1 | Global Financial Stability Map | |
Data | 1.2 | Heat Map: Developments in Systemic Asset Classes | |
Data | 1.3 | Contributions to Changes in Corporate Spreads | |
Data | 1.4 | Systemic Bank Default Risk | |
Data | 1.5 | Asset Price Volatility and Funding and Market Liquidity | |
Data | 1.6 | Composite Real Private Borrowing Rate and Short-Term Interest Rates | |
Data | 1.7 | U.S. Loan Charge-Off Rates | |
Data | 1.8 | Euro Area: Provision Rates | |
Data | 1.9 | Realized and Expected Writedowns or Loss Provisions for Banks by Region | |
Data | 1.10 | Bank Problem Loans and Income | |
Data | 1.11 | Bank Earnings | |
Data | 1.12 | Bank Capital Needs | |
Data | 1.13 | Mature Market Banks: Bond Debt Maturity Structure | |
Data | 1.14 | Mature Markets: Gross and Guaranteed Bond Issuance by Month | |
Data | 1.15 | European Central Bank Refinancing Facilities | |
Data | 1.16 | Global Bank and Insurance Equity Indices | |
Data | 1.17 | Funding Levels of Defined-Benefit Pension Plans of Companies in Major Equity Indices | |
Data | 1.18 | Heat Map: Developments in Emerging Market Systemic Asset Classes | |
Data | 1.19 | Contributions to Changes in Emerging Market Sovereign External Spreads | |
Data | 1.20 | Emerging Europe Credit Default Swap Spreads, June 30, 2008 to August 31, 2009 | |
Data | 1.21 | Net Capital Inflows | |
Data | 1.22 | Emerging Markets: Bank Credit to the Private Sector | |
Data | 1.23 | Refinancing Needs of Emerging Market Forex-Denominated Corporate Debt | |
Data | 1.24 | Emerging Market External Bond Issuance by Sector and Rating | |
Data | 1.25 | Rollover Rate of Emerging Market Forex-Denominated Corporate Debt | |
Data | 1.26 | Emerging Market Corporate Spreads and Speculative-Grade Default Rate | |
Data | 1.27 | Emerging Europe: Nonperforming Loan Ratios | |
Data | 1.28 | Private Sector Credit Growth | |
Data | 1.29 | Growth of Nonfinancial Sector Debt: History and Projected Borrowing Needs | |
Data | 1.30 | Bank Lending Capacity Growth | |
Data | 1.31 | Emerging Market Reserve Accumulation | |
Data | 1.32 | Net Sovereign Debt Issuance in Mature Markets | |
Data | 1.33 | Emerging Market Sovereign Issuance in International Capital Markets | |
Data Data Data Data Data |
1.34 | Global Financial Stability Map: Monetary and Financial Conditions | |
Data Data Data |
1.35 | Global Financial Stability Map: Risk Appetite | |
Data Data Data Data Data |
1.36 | Global Financial Stability Map: Macroeconomic Risks | |
Data Data Data Data Data |
1.37 | Global Financial Stability Map: Emerging Market Risks | |
Data Data Data Data Data Data |
1.38 | Global Financial Stability Map: Credit Risks | |
Data Data Data Data Data Data |
1.39 | Global Financial Stability Map: Market and Liquidity Risks | |
Data | 1.40 | Provisions for Loan Losses | |
Data | 1.41 | Estimated Share of Euro Area Bank Loans, 2007–10 | |
Data | 1.42 | Estimated Breakdown of Securities Exposure of Euro Area Banks | |
Data | 1.43 | Growth of Nonbank Fixed-Income Assets Under Management | |
Data | 1.44 | Financial Sector Credit Default Swap Spreads | |
Data | 1.45 | Worsening Funding Ratio of U.S. Defined-Benefit Plans in 2008 | |
2.1 | The Securitization Landscape | ||
Chart | Data | 2.2 | Global Private-Label Securitization Issuance by Type |
Chart | Data | 2.3 | U.S. Private-Label Securitization Issuance by Type |
Chart | Data | 2.4 | European Private-Label Securitization Issuance by Type |
Chart | Data | 2.5 | U.S. Asset-Backed Security (ABS) and Private-Label Mortgage-Backed Security (MBS) Issuance |
Chart | Data | 2.6 | Credit Spreads on U.S. AAA Securitization Instruments |
Chart | Data | 2.7 | U.S. Government-Sponsored Enterprise versus Private-Label Mortgage-Backed Security Issuance |
Chart | Data | 2.8 | Non-U.S. and Non-European Private-Label Securitization Issuance |
Chart | Data | 2.9 | Global Covered Bond Issuance |
Chart | Data | 2.10 | Selected Covered Bond Spreads |
2.11 | Illustrative Intermediation Chain | ||
Chart | Data | 2.12 | Where Did All the AAAs Go? |
Chart | Data | 2.13 | U.S. Issuance of Asset-Backed and Mortgage-Backed Securities |
3.1 | Time Pattern of Crisis Measures in Sample Countries | ||
3.2 | Spillovers from Global and U.S. Crisis Interventions Reflected on the Financial Stress Index | ||
3.3 | United States: Impact of Counterproductive Interventions on the Financial Stress Index | ||
3.4 | Government-Guaranteed Bonds (GGB) and Nonguaranteed Investment-Grade Bank Bonds | ||
3.5 | Impact of Liability Guarantees on Bond Issuance | ||
Chart | Data | 3.6 | United States: Outstanding Amount of Commercial Paper |
Chart | Data | 3.7 | Securitization in the United States and Europe |
Chart | Data | 3.8 | Credit Growth and Bank Lending Standards |
3.9 | United States: Outstanding Amount of Unconventional Measures by the Federal Reserve | ||
Chart | Data | 3.10 | Impact of Financial Sector Stabilization Measures on Credit Default Swap (CDS) Spreads |
Chart | Data | 3.11 | Mortgage Rates |
Chart | Data | 3.12 | Banking Sector Current Account Balance with the Bank of Japan |
Chart | Data | 3.13 | Failed Banks Assisted by Deposit Insurance Corporation of Japan |
Chart | Data | 3.14 | Three-Month Spread between TIBOR and LIBOR |
Chart | Data | 3.15 | Japan: Bank Loans and the Consumer Price Index |
Chart | Data | 3.16 | Changes in the Major Components of Central Banks’ Balance Sheet |
Statistical Appendix | |||
Key Financial Centers | |||
Figures | |||
Chart | Data | 1. | Major Net Exporters and Importers of Capital in 2008 |
Chart | Data | 2. | Exchange Rates: Selected Major Industrial Countries |
Chart | Data | 3. | United States: Yields on Corporate and Treasury Bonds |
Chart | Data | 4. | Selected Spreads |
Chart | Data | 5. | Nonfinancial Corporate Credit Spreads |
Chart | Data | 6. | Equity Markets: Price Indices |
Chart | Data | 7. | Implied and Historical Volatility in Equity Markets |
Chart | Data | 8. | Historical Volatility of Government Bond Yields and Bond Returns for Selected Countries |
Chart | Data | 9. | Twelve-Month Forward Price/Earnings Ratios |
Chart | Data | 10. | Flows into U.S.-Based Equity Funds |
Chart | Data | 11. | United States: Corporate Bond Market |
Chart | Data | 12. | Europe: Corporate Bond Market |
Chart | Data | 13. | United States: Commercial Paper Market |
Chart | Data | 14. | United States: Asset-Backed Securities |
Tables | |||
Data | 1. | Global Financial Flows: Inflows and Outflows | |
Data | 2. | Global Financial Flows: Amounts Outstanding and Net Issues of International Debt Securities by Currency of Issue and Signed International Syndicated Credit Facilities by Nationality of Borrower | |
Data | 3. | Selected Indicators on the Size of the Capital Markets, 2008 | |
Data | 4. | Global Over-the-Counter Derivatives Markets: Notional Amounts and Gross Market Values of Outstanding Contracts | |
Data | 5. | Global Over-the-Counter Derivatives Markets: Notional Amounts and Gross Market Values of Outstanding Contracts by Counterparty, Remaining Maturity, and Currency | |
Data | 6. | Exchange-Traded Derivative Financial Instruments: Notional Principal Amounts Outstanding and Annual Turnover | |
Data | 7. | United States: Sectoral Balance Sheets | |
Data | 8. | Japan: Sectoral Balance Sheets | |
Data | 9. | Europe: Sectoral Balance Sheets | |
Emerging Markets | |||
Figures | |||
Chart | Data | 15. | Emerging Market Volatility Measures |
Chart | Data | 16. | Emerging Market Debt Cross-Correlation Measures |
Tables | |||
Data | 10. | Equity Market Indices | |
Data | 11. | Foreign Exchange Rates | |
Data | 12. | Emerging Market Bond Index: EMBI Global Total Returns Index | |
Data | 13. | Emerging Market Bond Index: EMBI Global Yield Spreads | |
Data | 14. | Emerging Market External Financing: Total Bonds, Equities, and Loans | |
Data | 15. | Emerging Market External Financing: Bond Issuance | |
Data | 16. | Emerging Market External Financing: Equity Issuance | |
Data | 17. | Emerging Market External Financing: Loan Syndication | |
Data | 18. | Equity Valuation Measures: Dividend-Yield Ratios | |
Data | 19. | Equity Valuation Measures: Price-to-Book Ratios | |
Data | 20. | Equity Valuation Measures: Price/Earnings Ratios | |
Data | 21. | Emerging Markets: Mutual Fund Flows | |
Financial Soundness Indicators | |||
Tables | |||
Data | 22. | Bank Regulatory Capital to Risk-Weighted Assets | |
Data | 23. | Bank Capital to Assets | |
Data | 24. | Bank Nonperforming Loans to Total Loans | |
Data | 25. | Bank Provisions to Nonperforming Loans | |
Data | 26. | Bank Return on Assets | |
Data | 27. | Bank Return on Equity | |
The following symbols have
been used throughout this volume: |