Boxes |
|
|
1.1 |
Market Confidence Deteriorates
amid Policy Uncertainty |
|
|
1.2 |
How Concerned Are Markets about
U.S. Sovereign Risks? |
|
|
1.3 |
Quantifying Spillovers from
High-Spread Euro Area Sovereigns to the European Union Banking
Sector |
|
|
1.4 |
Why Do U.S. Money Market Funds
Hold So Much European Bank Debt? |
|
|
1.5 |
Gauging Financial Stability
Risks in China |
|
|
1.6 |
Can Macroprudential Policies
Contain the Property Boom? |
|
|
1.7 |
Euro Area Developments in Crisis
Management |
|
|
1.8 |
An Empirical Analysis of the
Effectiveness of Macroprudential Instruments |
|
|
2.1 |
Asset Allocation of Reserve
Managers |
|
|
2.2 |
A New Asset Allocation Framework
Using Risk -Factors |
|
Data |
2.3 |
The Low Interest Rate
Environment and Pension Funds |
|
|
2.4 |
Sovereign Asset Management and
the Global Financial Crisis |
|
|
3.1 |
Monitoring and Policy Tools at
New U.S., U.K, and EU Macroprudential Authorities |
|
|
3.2 |
Legal Prerequisites for Housing
Finance Systems |
|
|
3.3 |
Risk-Materialization: The Search
for Near-Coincident Indicators of Financial System Stress |
|
|
3.4 |
An Empirical Analysis of the
Effectiveness of Macroprudential Instruments |
|
Tables |
|
Data |
1.1 |
Indebtedness and
Leverage in Selected Advanced Economies |
|
Data |
1.2 |
Sovereign Debt: Market and
Vulnerability Indicators |
|
Data |
1.3 |
Emerging Market Banks:
Sensitivity to Macroeconomic and Funding Shocks |
|
Data |
1.4 |
Macroeconomic and Financial
Indicators for Selected Emerging Economies |
|
|
2.1 |
Assets under Management by
Institutional Investors |
|
|
2.2 |
Assets of Selected Sovereign
Wealth Funds |
|
|
2.3 |
Asset Manager's Assets under
Management: Origin of Funds |
|
|
2.4 |
Summary of Panel Regression
Results on Equity and Bond Flows |
|
|
2.5 |
Simulated Effects of Shocks on
Regional Flows: Emerging Markets |
|
|
2.6 |
Evaluating the Economic
Significance of Crisis Indicator Coefficients |
|
|
2.7 |
Expected Period before Policy
Rate Rise |
|
|
2.8 |
Top Five Factors Considered in
Cross-Border Investment since End-2006 |
|
|
2.9 |
Regional Allocation |
|
|
2.10 |
Asset Allocation by Asset Class |
|
|
2.11 |
Survey Participants' Assets
under Management |
|
|
2.12 |
Asset Managers' Assets under
Management: Origin of Funds |
|
|
2.13 |
Asset Allocation by Asset Class |
|
|
2.14 |
Regional Allocation |
|
|
2.15 |
Top 10 Investment Destinations |
|
|
2.16 |
Top Five Factors Considered in
Country Allocation |
|
|
2.17 |
Top Five Factors Considered in
Cross-Border Investment since End-2006 |
|
|
2.18 |
Experience and Expectations of
Portfolio Risk Exposures and Returns |
|
|
2.19 |
Expected Period before Policy
Rate Rise |
|
|
2.20 |
Use of Hedging Instruments |
|
|
2.21 |
Use of Derivatives to Enhance
Yields |
|
|
2.22 |
Survey Participants |
|
|
2.23 |
Sovereign Wealth Fund
Classification |
|
|
2.24 |
Determinants of Equity and Bond
Flows: Panel Regression Results |
|
|
3.1 |
Noise-to-Signal Ratios for
Different Credit Indicators |
|
|
3.2 |
Predictive Power of Various
Indicators “X” Years before the Crisis |
|
|
3.3 |
Long-Run Steady-State
Volatilities, by Type of Capital Requirement |
|
|
3.4 |
Determinants of Systemic Banking
Crises: Single–Indicator Probit Model |
|
|
3.5 |
Determinants of Systemic Banking
Crises: Two–Indicator Probit Model |
|
|
3.6 |
Granger Causality of Systemic
Risk Measure to the Event Indicator |
|
|
3.7 |
Forecastibility of Extreme
Events: Logit Regressions |
|
|
3.8 |
Turning Points: Quandt-Andrews
Breakpoint Test on Persistence and Level |
|
|
3.9 |
Total Score |
|
Figures |
|
|
1.1 |
Phases of the Crisis |
|
Data |
1.2 |
Global Financial Stability Map |
|
Data |
1.3 |
Global Financial Stability Map:
Assessment of Risks and Conditions |
|
Data |
1.4 |
Asset Price Performance since
the April 2011 GFSR |
|
Data |
1.5 |
Sovereign Vulnerabilities and
Market Pressures |
|
Data |
1.6 |
Historical Volatility in
One-Month Treasury Bills During Debt Ceiling Negotiations |
|
Data |
1.7 |
Change in Advanced Economy
Government Bond Yields around Sovereign Debt Downgrades |
|
|
1.8 |
Developments in Sovereign
Spreads, 2011 |
|
|
1.9 |
Debt Dynamics |
|
Data |
1.10 |
Changes in the Sovereign
Investor Base |
|
|
1.11 |
Bond Market Volatility |
|
Data |
1.12 |
Financing Sensitivity to an
Interest Rate Shock |
|
Data |
1.13 |
Size of High-Spread Euro Area
Government Bond Markets |
|
Data |
1.14 |
European Credit Risks and Market
Capitalization |
|
|
1.15 |
Spreads on Bank Five-Year Credit
Default Swaps |
|
Data |
1.16 |
Bank Debt Issuance as a Percent
of Maturing Debt, 2011 |
|
Data |
1.17 |
Cumulative Spillovers from
High-Spread Euro Area Sovereigns to the European Union Banking
System |
|
Data |
1.18 |
Spillovers from High-Spread Euro
Area Sovereigns to Country Banking Systems |
|
|
1.19 |
Distribution of Spillovers from
High-Spread Euro Area Sovereigns to European Banks |
|
Data |
1.20 |
Spillovers from High-Spread Euro
Area Sovereigns to Insurers |
|
|
1.21 |
Advanced Economy Bank Funding,
by Source, 2011:Q1 |
|
|
1.22 |
U.S. Prime Money Market Fund
Exposures to Banks |
|
Data |
1.23 |
Deposit Growth in High-Spread
Euro Area Countries |
|
Data |
1.24 |
Contributions to Change in Bank
Balance Sheets since End-2009 |
|
Data |
1.25 |
Deleveraging Scenario: Change in
High-Spread Euro Area Bank Credit to the Nonfinancial Private
Sector |
|
Data |
1.26 |
Sovereign Credit Default Swaps:
Gross Outstanding Amount |
|
|
1.27 |
European Bank Core Tier 1 Ratios |
|
|
1.28 |
Phases of the Credit Cycle |
|
Data |
1.29 |
U.S. Household Debt, and
Mortgage Delinquencies at Banks |
|
Data |
1.30 |
Bank Lending Conditions for
Nonfinancial Corporations |
|
Data |
1.31 |
U.S. BBB-Rated Corporate Credit
Spreads versus Real Federal Funds Rate |
|
Data |
1.32 |
Current versus Past U.S. Credit
and Economic Cycles: Federal Funds Rate, BBB-Rated Corporate
Spreads, and Real Cumulative GDP Growth |
|
Data |
1.33 |
Global Securitized and
Structured Products Issuance |
|
|
1.34 |
Hedge Fund Assets under
Management |
|
Data |
1.35 |
Financing by U.S. Nonfinancial
Corporations |
|
Data |
1.36 |
High-Yield Gross Issuance and
Leveraged Loan Covenants |
|
Data |
1.37 |
Emerging Markets: Capital Flows,
Credit, and Equity Prices |
|
Data |
1.38 |
Net Capital Flows by Region |
|
Data |
1.39 |
Emerging Market Corporate
External Issuance |
|
Data |
1.40 |
Emerging Market Corporate versus
U.S. High-Yield Debt: Yields, Leverage, Returns |
|
Data |
1.41 |
Emerging Markets External
Corporate Issuance, by Sector |
|
Data |
1.42 |
Emerging Markets: Total Credit
to the Nonbanking Sector |
|
Data |
1.43 |
Model Prediction for NPL Ratios
in 2011 and 2012 Based on 2010 Values |
|
Data |
1.44 |
Impact when Net Capital Flows
Decline |
|
Data |
1.45 |
Impact when Terms of Trade
Decline |
|
Data |
1.46 |
Change in Capital Adequacy
Ratios under Combined Macro Shocks |
|
|
1.47 |
Available Set of Policy Choices
Is Shrinking |
|
Data |
1.48 |
Impulse Responses: Model
Specification 1 |
|
Data |
1.49 |
Impulse Responses: Model
Specification 2 |
|
Data |
1.50 |
Macro Scenarios under Combined
Shocks |
|
Data |
2.1 |
Asset Allocation of
Institutional Investors |
|
Data |
2.2 |
Assets of Institutional
Investors by Country |
|
Data |
2.3 |
Asset under Management by Type
of Institutional Investors |
|
Data |
2.4 |
Global Asset Allocation of
Institutional Investors by Selected Country |
|
Data |
2.5 |
Assets under Management by Type
of Institutional Investor and Selected Country, 2009 |
|
Data |
2.6 |
Foreign Exchange Reserves,
Excluding Gold |
|
|
2.7 |
Selected Sovereign Wealth Funds:
Asset Allocation by Type of Fund, December 2010 |
|
|
2.8 |
Simulated Effects of Shocks on
Regional Flows: Emerging Markets |
|
Data |
2.9 |
Regional Distribution of Equity
and Bond Mutual Fund Investments |
|
|
2.10 |
Minimum Variance Frontier |
|
|
3.1 |
Road Map of the Chapter |
|
|
3.2 |
Behavior of Four Indicators
under Three Shock Scenarios |
|
Data |
3.3 |
Event Study Results: Aggregate
Indicators Three Years before to Two Years after Crises |
|
|
3.4 |
Probability of a Systemic
Banking Crisis |
|
|
3.5 |
Estimated Probability of a
Systemic Banking Crisis in the United States: Effect of Changes
in Credit |
|
|
3.6 |
Effects of Macroprudential
Policy: Time-Varying Capital Requirements for an Asset-Price
Shock |
|
|
3.7 |
Effects of Productivity Shock
and Time-Varying Capital Requirements on Real GDP |
|
|
3.8 |
Marginal Effect on Probability
of Crisis of Change in Ratio of Credit to GDP |
|
Statistical
Appendix |
Figures |
|
Data |
1. |
Major Net Exporters and
Importers of Capital in 2010 |
|
|
2. |
Sovereign Credit Default Swap
Spreads |
|
|
3. |
Selected Credit Default Swap
Spreads |
|
|
4. |
Selected Spreads |
|
|
5. |
Implied Volatility Indices |
|
Data |
6. |
Twelve-Month Forward
Price/Earnings Ratios |
|
Data |
7. |
United States: Corporate Bond
Market |
|
Data |
8. |
Euro Area: Corporate Bond Market |
|
Data |
9. |
United States: Commercial Paper
Market |
|
Tables |
|
Data |
1. |
Selected Indicators on the Size
of the Capital Markets, 2010 |
|
Data |
2. |
MSCI Equity Market Indices |
|
Data |
3. |
Emerging Market Bond Index: EMBI
Global Yield Spreads |
|
Data |
4. |
Emerging Market External
Financing: Total Bonds, Equities, and Loans |
|
Data |
5. |
Emerging Market External
Financing: Bonds |
|
Data |
6. |
Emerging Market External
Financing: Equities |
|
Data |
7. |
Emerging Market External
Financing: Loans |
|
Data |
8. |
Equity Valuation Measures:
Dividend-Yield Ratios |
|
Data |
9. |
Equity Valuation Measures:
Price/Earnings Ratios |
|
Data |
10. |
Emerging Markets: Mutual Fund
Flows |
|
(*)Please
note that effective with the April 2011 issue, the IMF’s
Statistics Department has assumed responsibility for compiling
the
Financial Soundness Indicators tables and
they are no longer part of this appendix. However, these tables
will continue to be linked to the GFSR Statistical Appendix on
the IMF’s public website. |
|
The following
symbols have been used throughout this appendix:
. . . 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 and months (for example, 2008–09 or
January–June) to indicate the years or months covered, including
the beginning and ending years or months;
/ between years (for example, 2008/09) 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 ¼ of 1 percentage
point).
“n.a.” means not applicable.
Minor discrepancies between constituent figures and totals are
due to rounding. |
|
Disclaimer:
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. |