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World Economic and Financial Surveys

Global Financial Stability Report

A Quarterly Report on Market Developments and Issues
March 2002

©2002 International Monetary Fund
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The Global Financial Stability Report provides quarterly assessments of global financial markets and addresses emerging market financing in a global context.

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 Contents   
  Foreward
 
  Preface
 
Chapter I. Overview (169KB pdf file)
Chapter II. Recent Developments in International Capital Markets (258KB pdf file)
The Recovery Rally
What Are Markets Anticipating About Recovery?
Emerging Market Financing
References
Chapter III. Stability Implications of Global Financial Market Conditions (271KB pdf file)
Financial Market Implications of Financial Imbalances and a Subdued or Delayed Recovery
How Effective Is the Market for Credit Risk Transfer Vehicles Functioning?
References
Chapter IV. Early Warning Systems Models: The Next Steps Forward (320KB pdf file)
Current EWS models at the IMF
EWS: A Way Forward
Conclusion
References
Chapter V. Alternative Financial Instruments and Access to Capital Markets (320KB pdf file)
Alternative Financial Instruments: What Are They and How Do They Work?
Policy Implications
Concluding Remarks
 
Boxes
2.1 Anticipating Economic Turnarounds: The Record of the Stock Market
2.2 Argentina and the Asset Class
3.1 Financial Implications of Enron's Bankruptcy
4.1 The IMF's Core Early Warning Systems Models—A Primer
4.2 Alternative Measures of Contagion
5.1 Recent Bond Warrants
5.2 The Structure of Future-Flow Securitizations—Modalities and the Case of PEMEX
 
Tables
2.1 Total Return Performances of Mature Equity Markets
2.2 U.S. Corporate Bond Total Returns
2.3 Emerging Market Financing
2.4 Performance of Emerging Bond Markets
2.5 Currency of Issue
2.6 Total Dollar Return Performance of Emerging Equity Markets
3.1 U.S. Financial Conditions During the 1990–91 and 2001 Recessions
3.2 Performance of Large European Banks
3.3 Performance of Major Japanese City Banks
5.1 Emerging Market Sovereign Bond and Loan Issues by Type
5.2 Market Conditions and Alternative Financial Instruments
 
Figures
2.1 Global Risk Aversion
2.2 Global Equity Markets
2.3 Net Purchases by Foreigners from U.S. Residents
2.4 U.S. Treasury Yield Differentials
2.5 S&P 500 Earnings Growth Forecasts for 2002
2.6 U.S. Treasury Credit Curves
2.7 U.S. Domestic Bond Issuance
2.8 The U.S. Dollar
2.9 Twelve-Month Forward Price-Earnings Ratio for the S&P 500
2.10 Twelve-Month Forward Price-Earnings Ratio of the Group of Three
2.11 Expected Policy Rates: Federal Funds Futures
2.12 Expected Changes in Forward Rates in the Group of Seven
2.13 Emerging Market Spreads
2.14 Average Cross-Correlation of Emerging Debt Markets
2.15 Emerging Market Spread Correlations with Argentina
2.16 Monthly Bond Issuance
2.17 Loan Issuance
2.18 Cumulative Gross Annual Issuance of Hard Currency Loans
2.19 Loan-Weighted Interest Margin
2.20 Net Foreign Purchases and Monthly Returns on Emerging Equity Markets
2.21 Capital Flows to Emerging Economies
3.1 United States: Financial Conditions, 1987–2001
3.2 Probability Density Functions for Group of Three Exchange Rates Implied by Option Prices
3.3 Household and Corporate Sector Balance Sheets in the Euro Area and Japan
3.4 Japan Premium
3.5 United States: Household and Corporate Sector Balance Sheets and Debt Services Ratios
3.6 Performance of Bank Stock Indices Implied Earnings Growth Rates
3.7 Implied Earnings Growth Rates
3.8 Global Credit Derivatives Market Size and Structure
3.9 Key Characteristics of Credit Derivatives Markets
3.10 Spread Between Credit Derivatives Premium and Underlying Bond Spread
4.1 The IMF Early Warning System Models: Developing Country Studies Division (DCSD) and Kaminsky, Lizondo, and Reinhart (KLR) Probabilities of Crisis
4.2 Forward Exchange Rates for Argentine Peso
4.3 Spot Price and Implied Probability Density Function for the Brazilian Real
4.4 Argentina and Turkey: External Liquidity and Debt Service Ratios
4.5 Slope of Default Swap Curve
4.6 Korea: Financial Institutions Index (1991–2001)