## data-ch3

## Source details

**Canonical URL:** [data-ch3](https://www.imf.org/-/media/files/publications/gfsr/2021/october/data/data-ch3.xlsx)

## Other formats

- [Markdown version](/-/media/files/publications/gfsr/2021/october/data/data-ch3.xlsx.md)
- [Structured JSON version](/-/media/files/publications/gfsr/2021/october/data/data-ch3.xlsx.json)

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### Dataset description
- Worksheet set: "GFSR Chapter 3 Oct. 2021", "Table of Contents", and multiple figure worksheets (Figure 3.1. through Figure 3.12., Box 3.1. Figure).
- Purpose: Data supporting Chapter 3, "INVESTMENT FUNDS: FOSTERING THE TRANSITION TO A GREEN ECONOMY", of the Global Financial Stability Report.
- Temporal coverage in samples: quarterly series from 2010:Q1 (2010-03-01T00:00:00.000Z) through 2020:Q4, and annual signatory counts 2005–21 in selected tables.
- File structure: multiple figure-specific worksheets with time series, distributions, regression coefficients, and survey result rows.

### Major figures and tables included (by worksheet)
- Figure 3.1. — Title: "The Sustainable Investment Fund Sector Can Speed Up the Transition to a Green Economy".
- Figure 3.3. — Sections include:
  - "2. Assets under Management, by Fund Label, 2010:Q1–2020:Q4"
  - "3. Net Flows into Funds, by Fund Label, 2010:Q1–2020:Q4"
  - "4. Number of Signatories to the Principles for Responsible Investment and Their Assets under Management, 2005–21"
- Figure 3.4. — "The Transition-Related Scores of Funds Have Been Broadly Stable" with series:
  - "1. Average Transition-Opportunity Score, by Fund Domicile, 2010:Q1–2020:Q4 (Score 0–100)"
  - "2. Average Carbon Intensity, by Fund Domicile, 2010:Q1–2020:Q4 (Tons of CO2-equivalent per million of US dollars of revenue)"
- Figure 3.5.–3.12. — Distributional analyses, flow regressions, effects of climate-related news, cash buffer sensitivity, flow-performance relationships, and issuance effects for "green" firms.
- Box 3.1. Figure — Survey responses on approaches and tools used by asset managers to incorporate climate mitigation.

### Key numeric data points (preserved exactly as in the dataset)
- Date stamps present in many series: "2021-10-01T00:00:00.000Z", "2010-03-01T00:00:00.000Z", "2010-06-01T00:00:00.000Z", "2010-09-01T00:00:00.000Z", "2010-12-01T00:00:00.000Z".
- Figure 3.3 (sample rows for 2010:Q1–Q3, Assets under Management and net flows):
  - 2010:Q1 — Conventional: 17; Sustainable excluding environment: 0.906; Environment excluding climate: 0.102; Climate: 0.0103.
  - 2010:Q2 — Conventional: 15.9; Sustainable excluding environment: 0.838; Environment excluding climate: 0.09; Climate: 0.00855.
  - 2010:Q3 — Conventional: 17.8; Sustainable excluding environment: 0.965; Environment excluding climate: 0.101; Climate: 0.00906.
  - Assets owners' AUM and net flows sample values (2010:Q1–Q3): 1.29147; 1.90468; 1.00519; -0.75399; 0.6159399999999999; 1.5278; -2.08501; -4.45868; 1.19057; 1.29076; 0.58402; -4.96521.
  - Number of signatories sample by year: 2006 — assets owners's AUM 2 (trillions), Number of assets owners 32, Assets under management 6.5 (trillions of US dollars; left scale), Number of signatories 63; 2007 — 3.2, 77, 10, 185; 2008 — 4.2, 135, 13, 361.
- Figure 3.4 (sample transition-opportunity scores and carbon intensity by domicile at 2010 quarterly points):
  - 2010-03-01T00:00:00.000Z — Transition-opportunity scores: 32.19890988423205 (European Union), 26.32683008526332 (Other advanced economies), 5.94768956562439 (Emerging markets), 30.326575043901304 (United States).
  - 2010-03-01T00:00:00.000Z — Carbon intensity: 311.4704659622933 (European Union), 257.4501489615527 (Other advanced economies), 867.7224115684353 (Emerging markets), 310.2753279459619 (United States).
  - 2010-06-01T00:00:00.000Z and 2010-09-01T00:00:00.000Z contain similar quarterly numeric rows preserved in the file.
- Figure 3.5 sample bins and industry composition excerpts:
  - Transition distribution bins: e.g., bin 5 — Conventional 0; Climate label 0; bin 10 — Conventional 0.04691447130999639; Climate label 0; bin 15 — Conventional 0.36629375676651027; Climate label 0.
  - Industry composition examples for 2020:Q4: Manufacturing 21.280787845209574 (Climate), 9.738231980821126 (Environment), 9.759911920046882 (Sustainable), 8.423499149716603 (Conventional); Utilities 18.653628994255183, 2.559839381756911, 2.6462137164399735, 4.298323647513776.
- Figure 3.6 sample regression coefficients (sensitivity of quarterly flows to fund labels and scores):
  - "Sustainable excluding environment": 0.8999999999999999
  - "Environment excluding climate": 2.5
  - "Climate": 7.400000000000001
  - "ESG": 0.4
  - "Transition opportunity": -0.38496020000000003
  - Yearly sample coefficients by year: 2010 — Carbon intensity 0.1280918; Transition opportunity 0.1888484; Sustainable label 0 (2010 row).
  - 2011 — Carbon intensity 0.5764131; Transition opportunity -0.6173890000000001; Sustainable label -0.2.
  - 2012 — Carbon intensity 0.0640459; Transition opportunity -1.2129878000000003; Sustainable label 0.
- Figure 3.8 sample issuance regressions (effects of inflows into sustainable funds on issuance by "green" firms):
  - ESG score: Probability of issuance 0.5744532560000002; Amount of issuance 1.5304244640000002.
  - E score: Probability 1.136755404; Amount 1.6928384399999998.
  - Transition-opportunity score: Probability 0.610371684; Amount 0.745372584.
  - For equity issuance regressions sample: ESG score -0.37206311999999997; Amount 0.7274167210000001; Transition-opportunity score -0.03878784000000001; Amount 0.6777286306999999.
- Figure 3.9 sample quantiles for differences in impacts of climate-related news:
  - Min values: -0.4548331; -1.3242463; sample quarterly labeling "2015:Q4".
  - Q1 values: -0.17887865; -0.47045604999999996; Q1 flow differences examples.
- Figure 3.10 sample effects on carbon intensity and transition-opportunity score:
  - Min: -5.630035333862706 (percent of average carbon intensity); Q1: -3.660836459674959; Max: 14.437682087978027.
  - Transition-opportunity score Min: -4.6269517867488466; Q1: -3.219046667806111; Max: 3.1755581765460485.
- Figure 3.11 cash buffer sensitivity to a one-standard-deviation increase:
  - Transition-opportunity score reaction: -0.1068134527755808 (Percent of fund assets).
  - Carbon intensity reaction: -0.07034219235980034 (Percent of fund assets).
- Figure 3.12 flow-performance relationship (flows sensitivity to lagged returns; basis points for one-percentage-point shock):
  - Conventional funds, Mean: 8.1; 10th: 8.526; 20th: 6.012; 30th: 4.58; 40th: 3.615; 50th: 3.5610000000000004; 60th: 4.79; 70th: 6.666999999999999; 80th: 9.705; 90th: 16.48.
  - Difference between conventional and sustainable funds, Mean: -2.1999999999999997; 10th: -1.6505041615405305; 20th: -1.7680000000000002; 30th: -1.493; 40th: -1.0630000000000002; 50th: 0.06254605014418864; 60th: -0.433980661916232; 70th: -0.7517213506328615; 80th: -2.1423156029423027; 90th: -2.187870152392615.
- Box 3.1. Figure — Survey responses (Approaches used by asset managers to incorporate climate change mitigation; percent of respondents):
  - Positive screening: 50
  - Impact investing: 50
  - Sustainability-themed investment: 66.66666666666666
  - Negative screening: 83.33333333333334
  - ESG integration: 91.66666666666666

### Notable data types and methods present in the file
- Time series (quarterly and annual) for assets under management, net flows, and score metrics.
- Cross-sectional distributions (score distributions, carbon-intensity distributions, industry composition shares).
- Regression output and coefficient tables (sensitivity of flows to labels, scores, and returns; effects on issuance probability and amounts).
- Quantile regression results for cash buffer reactions in Figure 3.11.
- Survey percentage summaries in Box 3.1.

### Observations for users of the dataset
- Numeric precision is preserved as in the source (many values are presented with full floating-point precision).
- Multiple worksheets present aligned but distinct measures (e.g., transition-opportunity scores and carbon intensity use different units and scales; dates are ISO timestamp strings in many rows).
- Users should match worksheet names (e.g., "Figure 3.4.", "Figure 3.6.") to extract the corresponding analytical series and regression tables.

*International Monetary Fund — Global Financial Stability Report, Chapter 3 dataset (data-ch3).*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2021/october/data/data-ch3.xlsx_