Preface
(457KB pdf file) |
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Joint Foreword to
World Economic Outlook and
Global Financial Stability
Report |
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Executive Summary
(752KB pdf file) |
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Chapter I.
Stabilizing the Global Financial
System and Mitigating Spillover
Risks |
Full Text
| Boxes |
Figures | Tables |
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A. Global
Financial Stability Map |
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B. Global
Deleveraging and its
Consequences |
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C. The Crisis has
Engulfed Emerging Markets |
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D. The
Deteriorating Outlook for
Household and Corporate Defaults
in Mature Markets and
Implications for the Financial
System |
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E. Stability
Risks and the Effectiveness of
the Policy Response |
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F. Costs of
Official Support, Potential
Spillovers, and Policy Risks |
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Annex 1.1. Global
Financial Stability Map:
Construction and Methodology |
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Annex 1.2.
Predicting Private "Other
Investment" Flows and Credit
Growth in Emerging Markets |
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Annex 1.3.
Spillovers Between Foreign Banks
and Emerging Market Sovereigns |
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Annex 1.4. Debt
Restructuring in Systemic Crises |
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Annex 1.5.
Methodology for Estimating
Financial Writedowns |
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References |
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Chapter II.
Assessing the Systemic
Implications of Financial
Linkages |
Full Text | Boxes |
Figures | Press
Points |
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Four Methods of
Assessing Systemic Linkages |
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How Regulators
Assess Systemic Linkages |
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Policy
Reflections |
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Annex 2.1.
Default Intensity Model
Estimation |
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References |
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Chapter III.
Detecting Systemic Risk |
Full Text | Boxes | Figures | Press
Points |
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What Constitutes
"Systemic" Risk? |
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"Fundamental"
Characteristics of Intervened
and Nonintervened Financial
Institutions |
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Market
Perceptions of Risk of Financial
Institutions |
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Identifying
Systemic Risks Through Regime
Shifts |
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Role of Global
Market Conditions During
Episodes of Stress |
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Policy
Implications |
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Conclusions |
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Annex 3.1.
Financial Soundness Indicators |
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Annex 3.2. Groups
of Selected Financial
Institutions |
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Annex 3.3. List
of Intervened Financial
Institutions |
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References |
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Annex: Summing Up
by the Acting Chair
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Statistical
Appendix(1259KB
pdf file) |
Key Financial
Centers: Figures
| Tables |
Emerging
Markets: Figures
| Tables |
Financial
Soundness Indicators: Tables |
|
Boxes |
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1.1 |
Near-Term Financial Stability
Challenges and Policy Priorities |
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Data
Data |
1.2 |
Cross-Border Exposures and
Financial Interlinkages within
Europe |
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1.3 |
Effects of the Global Financial
Crisis on Trade Finance: The
Case of Sub-Saharan Africa |
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Data
Data |
1.4 |
Enhanced IMF Lending
Capabilities and Implications
for Emerging Markets |
|
Data |
1.5 |
Modeling Corporate Bond Spreads:
A Capital Flows Framework |
|
Data |
1.6 |
Recent Unconventional Measures
of Selected Major Central Banks |
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1.7 |
Forecasts for Charge-Offs on
U.S. Bank Loans |
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2.1 |
Network Simulations of Credit
and Liquidity Shocks |
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2.2 |
Quantile Analysis |
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2.3 |
Default Intensity Model
Specification |
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2.4 |
Basics of Over-the-Counter
Counterparty Credit Risk
Mitigation |
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2.5 |
A Central Counterparty as a
Mitigant to Counterparty Risk in
the Credit Default Swap Markets |
Chart |
Data |
3.1 |
Modeling Risk-Adjusted Balance
Sheets: The Contingent Claims
Approach |
Chart
Chart |
Data
Data |
3.2 |
Option-iPoD
Measures of Risk Across
Financial Institutions |
|
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3.3 |
Higher Moments and Multivariate
Dependence of Implied
Volatilities from Equity Options
as Measures of Systemic Risk |
|
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3.4 |
The Consistent Information
Multivariate Density Optimizing
Approach |
Chart |
Data |
3.5 |
Spillovers to Emerging Markets:
A Multivariate GARCH Analysis |
Chart
Chart |
Data
Data |
3.6 |
The Transformation of Bank Risk
into Sovereign Risk—The Tale of
Credit Default Swaps |
|
Tables |
|
Data |
1.1 |
Macro and
Financial Indicators in Selected
Emerging Market Countries |
|
Data |
1.2 |
Potential Writedowns and Capital
Needs for Emerging Market Banks
by Region |
|
Data |
1.3 |
Estimates of Financial Sector
Potential Writedowns (2007-10)
as of April 2009 |
|
Data |
1.4 |
Bank Equity Requirement Analysis |
|
Data |
1.5 |
Policy Measures to Address
Troubled Assets |
|
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1.6 |
Tentative Easing in Credit
Conditions |
|
Data |
1.7 |
Bank Wholesale Financing and
Public Funding Support |
|
Data |
1.8 |
Public Debt and Stabilization
Costs, end-2009 |
|
Data |
1.9 |
Mature Market Sovereign Credit
Default Swap Spreads and Debt
Outstanding |
|
Data |
1.10 |
Expected Guaranteed Debt
Issuance |
|
Data |
1.11 |
Changes in Risks and Conditions
Since the October 2008
Global
Financial Stability Report |
|
Data |
1.12 |
Distress Dependence Matrices:
Sovereigns and Banks |
|
Data |
1.13 |
Estimated Bank Portfolio
Composition by Type of Asset |
|
Data |
1.14 |
Estimated Bank Portfolio
Composition by Origin of Assets |
|
Data |
1.15 |
Estimated Regional Distribution
of Bank Writedowns and
Cumulative Loss Rates |
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2.1 |
Taxonomy of Financial Linkages
Models |
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2.2 |
Simulation 1 Results (Credit
Channel) |
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2.3 |
Post-Simulation 1 Capital Losses |
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2.4 |
Simulation 2 Results (Credit and
Funding Channel) |
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2.5 |
Post-Simulation 2 Capital Losses |
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2.6 |
Conditional Co-Risk Estimates,
March 2008 |
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2.7 |
Conditional Co-Risk Estimates,
September 2008 |
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2.8 |
Distress Dependence Matrix |
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2.9 |
Summary of Various Methodologies:
Limitations and Policy
Implications |
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3.1 |
Selected Indicators on
Fundamental Characteristics in
Financial Institutions |
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3.2 |
Taxonomy of Credit Risk Models |
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3.3 |
Correlations Among 45 Financial
Institutions During Different
Stress Periods |
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3.4 |
Cluster Analysis |
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3.5 |
Summary of Various
Methodologies: Limitations and
Policy Implications |
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Figures |
|
Data |
1.1 |
Global Financial Stability Map |
|
Data |
1.2 |
Heat Map: Developments in
Systemic Asset Classes |
|
Data |
1.3 |
Ratio of Debt to GDP Among
Select Advanced Economies |
|
Data |
1.4 |
Bank Credit to the Private
Sector |
|
Data |
1.5 |
Private Sector Credit Growth |
|
Data |
1.6 |
Bank for International
Settlements Reporting Banks:
Cross-Border Liabilities and
Exchange-Rate-Adjusted Changes |
|
Data |
1.7 |
Bank for International
Settlements Reporting Countries:
Cross-Border Assets as a
Proportion of Total Assets |
|
Data |
1.8 |
Emerging Market Net Private
Capital Flows |
|
Data |
1.9 |
Net Foreign Equity Investment in
Emerging Economies |
|
Data |
1.10 |
Emerging Market Hedge Funds:
Estimated Assets and Net Asset
Flows |
|
Data |
1.11 |
Heat Map: Developments in
Emerging Market Systemic Asset
Classes |
|
Data |
1.12 |
Emerging Europe: Real Credit
Growth to the Private Sector and
Output |
|
Data |
1.13 |
Emerging Market Performance of
Credit Default Swap Spreads and
Equity Prices |
|
Data |
1.14 |
Cross-Currency Basis Swap
Spreads |
|
Data |
1.15 |
Emerging Market Real Credit
Growth |
|
Data |
1.16 |
External Debt Refinancing Needs |
|
Data |
1.17 |
Emerging Market Corporate Bond
Spreads |
|
Data |
1.18 |
Aggregate Emerging Market Bond
Index Global Spread |
|
Data |
1.19 |
Distress Dependence Between
Emerging Market Sovereigns and
Advanced Country Banks |
|
Data |
1.20 |
U.S. Loan Charge-Off Rates:
Baseline |
|
Data |
1.21 |
Delinquency Rates on U.S.
Residential Mortgage Loans |
|
Data |
1.22 |
Spreads on Commercial
Mortgage-Backed Securities |
|
Data |
1.23 |
Spreads on Consumer Credit
Asset-Backed Securities |
|
Data |
1.24 |
Global Corporate Default Rates |
|
Data |
1.25 |
Average Recovery Rates on
Defaulted U.S. Bonds |
|
Data |
1.26 |
Corporate Credit Default Swap
Spreads |
|
Data |
1.27 |
Estimates of Economic Growth and
Financial Sector Writedowns |
|
Data |
1.28 |
U.S. and European Bank and
Insurance Company Market
Capitalization, Writedowns, and
Capital Infusions |
|
Data |
1.29 |
U.S. and European (including
U.K.) Bank Earnings and
Writedowns |
|
Data |
1.30 |
Commercial Bank Loan Charge-Offs |
|
Data |
1.31 |
European Securitization Gross
Issuance |
|
Data |
1.32 |
Refinancing Gap of Global Banks |
|
Data |
1.33 |
Pension Funds of Large U.S. and
European Companies: Estimated
Funding Levels |
|
Data |
1.34 |
Insurance Sector Credit Default
Swaps Spreads |
|
Data |
1.35 |
Large Economy Credit Default
Swap Spreads |
|
Data |
1.36 |
Benchmark Five-Year Government
Bonds |
|
Data |
1.37 |
Swap Spreads of
Government-Guaranteed Bonds |
|
Data
Data
Data
Data
Data |
1.38 |
Global Financial Stability Map:
Monetary and Financial
Conditions |
|
Data
Data
Data
Data |
1.39 |
Global Financial Stability Map:
Risk Appetite |
|
Data
Data
Data
Data
Data
Data |
1.40 |
Global Financial Stability Map:
Macroeconomic Risks |
|
Data
Data
Data
Data
Data
Data |
1.41 |
Global Financial Stability Map:
Emerging Market Risks |
|
Data
Data
Data
Data
Data
Data |
1.42 |
Global Financial Stability Map:
Credit Risks |
|
Data
Data
Data
Data
Data
Data |
1.43 |
Global Financial Stability Map:
Market and Liquidity Risks |
|
Data |
1.44 |
Impulse Responses |
|
Data |
1.45 |
Net Private Other Investment
Flows to Emerging Markets |
|
Data |
1.46 |
Emerging Market Real Credit
Growth |
|
Data |
1.47 |
Emerging Market GDP Growth |
|
Data |
1.48 |
Default Probabilities Implied by
Credit Default Swap Pricing |
|
Data |
1.49 |
Distress Dependence |
|
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2.1 |
Network Analysis: A Diagrammatic
Representation of Systemic
Interbank Exposures |
Chart |
Data |
2.2 |
Network Analysis: Number of
Induced Failures |
Chart |
Data |
2.3 |
Network Analysis:
Country-by-Country Vulnerability
Level |
|
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2.4 |
Network Analysis: Contagion Path
Triggered by the U.K. Failure |
Chart |
Data |
2.5 |
AIG and Lehman Brothers Default
Risk Codependence |
|
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2.6 |
A Diagrammatic Depiction of
Co-Risk Feedbacks |
|
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2.7 |
U.S. and European Banks:
Tail-Risk Dependence Devised
from Equity Option Implied
Volatility, 2006-08 |
|
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2.8 |
Legend of Trivariate Dependence
Simplex |
|
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2.9 |
Annual Number of Corporate and
Banking Defaults |
|
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2.10 |
Actual and Fitted Economy
Default Rates |
|
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2.11 |
Default Rate Probability and
Number of Defaults |
|
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2.12 |
Quarterly One-Year-Ahead
Forecast Value-at-Risk at 95
Percent Level |
|
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2.13 |
Capital Adequacy Ratios (CAR)
After Hypothetical Credit Shocks |
|
|
2.14 |
Basic Structure of the Systemic
Risk Monitor Model |
|
|
2.15 |
RAMSI Framework |
Chart |
Data |
3.1 |
Capital-to-Assets Ratio |
Chart |
Data |
3.2 |
Ratio of Short-Term Debt to
Total Debt |
Chart |
Data |
3.3 |
Return on Assets |
|
|
3.4 |
Dendrogram |
Chart |
Data |
3.5 |
U.S. and European Banks: Joint
Tail Risk of Implied
Volatilities |
Chart |
Data |
3.6 |
Higher Moments and Multivariate
Dependence of Implied Equity
Volatility |
Chart |
Data |
3.7 |
Joint Probability of Distress (JPoD)
and Banking Stability Index (BSI):
Core 2 Group |
Chart |
Data |
3.8 |
Joint Probability of Distress (JPoD)
and Banking Stability Index (BSI):
By Geographic Region |
Chart |
Data |
3.9 |
Daily Percentage Change: Joint
and Average Probability of
Distress, Core 2 Group |
Chart |
Data |
3.10 |
Probability of Cascade Effects |
Chart |
Data |
3.11 |
Markov-Regime Switching ARCH
Model: Joint Probability of
Distress and Banking Stability
Index |
Chart |
Data |
3.12 |
Euro-Dollar Forex Swap |
Chart |
Data |
3.13 |
Markov-Switching ARCH Model of
VIX |
Chart |
Data |
3.14 |
Markov-Switching ARCH Model of
TED Spread |
Chart |
Data |
3.15 |
Markov-Switching ARCH Model of
VIX, TED Spread, and Core 2
Banking Stability Index |
|
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 Indexes |
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 Capital Flows: Inflows
and Outflows |
|
Data |
2. |
Global Capital 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, 2007 |
|
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. |
United
States: 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:
. . . to indicate that data are
not available;
—— to indicate that the figure
is zero or less than half the
final digit shown, or that the
item does not exist;
- between years or months (for
example, 1997-99 or January-June)
to indicate the years or months
covered, including the beginning
and ending years or months;
/ between years (for example,
1998/99) to indicate a fiscal or
financial year.
"Billion" means a thousand
million; "trillion" means a
thousand billion.
"Basis points" refer to
hundredths of 1 percentage point
(for example, 25 basis points
are equivalent to 1/4 of 1
percentage point). "n.a." means
not applicable.
Minor discrepancies between
constituent figures and totals
are due to rounding.
As used in this volume the term
"country" does not in all cases
refer to a territorial entity
that is a state as understood by
international law and practice.
As used here, the term also
covers some territorial entities
that are not states but for
which statistical data are
maintained on a separate and
independent basis.
|