## figure2-10

## Source details

**Canonical URL:** [figure2-10](https://www.imf.org/-/media/files/publications/gfsr/2018/april/chapter-2/pdf/figure2-10.pdf)

## Other formats

- [Markdown version](/-/media/files/publications/gfsr/2018/april/chapter-2/pdf/figure2-10.pdf.md)
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### Main finding
- The figure shows the multiplicative effect of a one standard deviation increase of the riskiness of credit allocation on the odds of bank equity stress.
- Time window considered is from t to t + h, in which h = 0, 1, 2, 3.
- Figure title: Figure 2.10. Higher Riskiness of Credit Allocation Signals Greater Risk of Banking Sector Stress (Proportional increase in the odds of banking sector stress).

### Definition of bank equity stress
- Bank equity stress is defined as annual bank equity excess return over the short-term government bond yield that is lower than the country-specific mean by at least one standard deviation.

### Measures and presentation
- Each bar shows the minimum and maximum effects across four measures:
  - leverage-based
  - interest coverage ratio–based
  - debt overhang–based
  - expected default frequency–based
- Dark-colored bars indicate that the effects are statistically significant at the 10 percent level or higher for four measures out of four.
- Light-colored bars indicate that the effects are statistically significant at the 10 percent level or higher for two measures out of four.
- See Annex 2.3 for methodology.

### Axis and scale indicators shown
- Horizontal/vertical markers shown in the figure: 0.0, 0.5, 1.0, 1.5, 2.0, 2.5 (indicative scale points depicted on the figure).

*Source: IMF staff estimates.*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2018/april/chapter-2/pdf/figure2-10.pdf_