## Figure 1.3. Search for Yield, Asset Valuations, and Volatility

## Source details

**Canonical URL:** [Figure 1.3. Search for Yield, Asset Valuations, and Volatility](https://www.imf.org/-/media/files/publications/gfsr/2017/october/chapter-1/pdf-data/figure1-3.pdf)

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- [Markdown version](/-/media/files/publications/gfsr/2017/october/chapter-1/pdf-data/figure1-3.pdf.md)
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### Search for Yield (Percentile rank)
- The global search for yield has compressed risk premiums across some assets.
- Country percentile ranks shown:  
  - United States 83 79 85 76 74  
  - Germany 62 33 86 91 43  
  - Japan 28 17 87 56 58  
  - United Kingdom 85 60 96 88 92  
  - Emerging Markets 25 58 84 19 54
- Asset categories referenced in the panel: CAPE; Equity Risk Premiums; Term Premiums (10-year); Corporate Spreads; House Prices to Income; Forward P/E.
- Issuance metrics in panel 1:  
  - Quantity of issuance is 12-month trailing gross issuance as percent of the outstanding amount.  
  - Quality of issuance shows spreads per turn of leverage.

### Cross-Asset Valuations (Percentile rank)
- Valuation measures and definitions preserved from source:  
  - CAPE = cyclically adjusted price-to-earnings ratio (trailing 12-month price-to-earnings ratio adjusted for inflation and the 10-year earnings cycle). Percentile calculated from 1990 for CAPE, forward P/E, equity risk premiums and term premiums.  
  - Forward P/E is the 12-month forward price-to-earnings ratio.  
  - Equity risk premiums are estimated using a three-stage dividend discount model on major stock indices.  
  - Term premium estimates follow the methodology in Wright 2011. Percentile calculated from 1990 for term premiums; from 1999 for EM term premiums.  
  - Corporate spreads are proxied using spreads per turn of leverage. Percentile calculated from 2007 for corporate spreads.  
  - For house-price-to-income ratio, income is proxied using nominal GDP per capita. Percentile calculated from 2000 for house-price-to-income ratio.
- Color shading logic: Red (dark green) denotes low (high) premiums, spreads, volatility, and issuance quality, as well as high (low) issuance and house price to income.

### Realized Volatility (Percentile rank)
- Volatility remains near precrisis lows.
- The heatmap in panel 3 shows the percentile of three-month realized volatility since 2003 at a monthly frequency.
- Asset-class share figures (percentages shown in the figure):  
  - Equity DM 10%  
  - Equity EM 6%  
  - Govt. Bond DM 14%  
  - Credit DM 14%  
  - Credit EM 5%  
  - FX DM 22%  
  - FX EM 35%  
  - Commodities 16%

### Timeline and event markers (as shown in figure)
- Timeline labels included in the figure:  
  - Precrisis buildup of risks  
  - Global financial crisis  
  - European debt crisis  
  - Oil sell-off, China growth worries, Brexit, US election
- Numeric timeline ticks visible in the figure: 12 13 17 14 15 16 20 06 07 08 09 10 11 and 06 05 12 11 17 16 15 14 13 04 2003 10 09 08 07 (presented verbatim as in source).

Sources: Bank of America Merrill Lynch; Bloomberg Finance L.P.; Dealogic; Haver Analytics; Organisation for Economic Co-operation and Development; Thomson Reuters; and IMF staff estimates.  

*Figure 1.3. Search for Yield, Asset Valuations, and Volatility*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2017/october/chapter-1/pdf-data/figure1-3.pdf_