## GFSR Chapter 2 Apr. 2022 — Dataset Overview

## Source details

**Canonical URL:** [GFSR Chapter 2 Apr. 2022 — Dataset Overview](https://www.imf.org/-/media/files/publications/gfsr/2022/april/data/ch2data.xlsx)

## Other formats

- [Markdown version](/-/media/files/publications/gfsr/2022/april/data/ch2data.xlsx.md)
- [Structured JSON version](/-/media/files/publications/gfsr/2022/april/data/ch2data.xlsx.json)

---

### Major themes and analytical focus
- Developments in emerging market public debt and banks’ sovereign exposures.
- Fiscal vulnerabilities in emerging markets: interest payments, projected public-debt-to-GDP, share of foreign currency in public debt, sovereign rating downgrades and outlooks.
- Banks’ exposure to sovereign debt in emerging markets: holdings relative to assets and links with bank capital (Tier 1).
- Channels of the sovereign-bank adverse feedback loop and transmission of sovereign risk to banks and nonfinancial corporations.
- Historical context: frequency of sovereign default, banking, and currency crises in emerging markets (EMs) versus advanced economies (AEs).
- Sovereign-bank nexus dynamics during the COVID-19 pandemic: net sovereign bond acquisitions by bank type, changes in loan-to-deposit ratios, holdings-to-CET1 capital ratios, mark-to-market shares, and haircut scenarios.
- Empirical relationships: correlations and co-movements among sovereign, bank, and nonfinancial corporate (NFC) stress and global financial conditions; expected default frequencies; effects of sovereign downgrades on firms’ ratings, investment, and debt issuance.
- Drivers of bank holdings of sovereign debt in emerging markets and state-owned banks’ purchase patterns during sovereign distress.

### Key statistics and figures (selected values preserved exactly)
- Figure 2.1: "Public debt, 2005–21" sample values:
  - 2005–09: AEs 76.63101 (percent of GDP), EMs 40.41169 (percent of GDP); AEs 4.5705294, EMs 14.502188 (other series shown).
  - 2010–14: AEs 100.6564, EMs 41.82072; AEs 6.004341, EMs 12.668954000000001.
  - 2015–19: AEs 5.6955396, EMs 14.153870000000001.
  - 2020: AEs 7.891071, EMs 16.33615.
- Figure 2.2: fiscal vulnerability samples:
  - Interest payments to revenue panel: 2013 values — AEs 6.797678, EMs 9.355627.
  - Projected public-debt-to-GDP ratio panel: 2022 — AEs 115.91314, EMs 68.352692; 2023 — AEs 114.12618, EMs 69.759572; 2024 — AEs 113.55835, EMs 71.375763; 2025 — AEs 113.29936, EMs 72.804239.
  - Share of foreign currency in total public debt, 2021: AEs 2.942289 (Percent), EMs 15.94766 (Percent).
  - Net emerging market sovereign rating downgrades and net negative outlook (sample dates with counts): 2022-03-01T00:00:00.000Z — AEs 7, EMs 10; 2022-02-01T00:00:00.000Z — AEs 6, EMs 10.
- Figure 2.3: banks’ exposure, 2021 (sample country values):
  - TUR: ratio of banks' sovereign debt holdings to total assets 15.79651; ratio of public debt to GDP 41.645689; Tier 1 capital to total assets 9.9358508.
  - ZAF: holdings 13.57278; public debt to GDP 70.586293; Tier 1 7.8659163.
  - ARG: holdings 24.85; public debt to GDP 78.462458; Tier 1 13.373728.
  - BRA: holdings 25.58733; public debt to GDP 93.01334; Tier 1 9.7897886.
  - COL (sample): holdings 9.57798; public debt to GDP 64.618054.
- Figure 2.5: association between sovereign and banking sector default risk:
  - Share of domestic banks’ holding in total government debt, 2005 — 21.83 (Percent); 2006 — 22.14; 2007 — 23; 2008 — 25.4; 2009 — 28.72.
  - Sovereign and bank expected default frequencies sample: 2006-01-01T00:00:00.000Z — Sovereign 0.0770406, Banks 1.198664.
  - Correlation examples (2008 series): 2008-01-01T00:00:00.000Z — Sovereign-banks 0.142231598, Sovereign-NFCs 0.114172339, Banks-NFCs 0.281205714, Global financial conditions (right scale) -4.577992818.
- Figure 2.6: frequency of crises, 1971–2016 (Percent):
  - Sovereign (domestic): EMs 6.32992327365729, AEs 0.09057971014492754.
  - Sovereign (external): EMs 18.542199488491047, AEs 0.4528985507246377.
  - Banking: EMs 15.025575447570333, AEs 16.1231884057971.
  - Currency: EMs 25.831202046035806, AEs 10.869565217391305.
- Figure 2.7: COVID-19 period measures (selected samples):
  - 1. Share of net sovereign bond acquisitions by type of bank, 2020 (Percent): RUS — State-owned 99.45397777255734, Private domestic 1.141846190263688, Foreign subsidiary -0.5958239628210219.
  - Change in loan-to-deposit ratio, 2019–20 (Percent) examples: RUS -0.1700058 (Change in loan-to-deposit ratio), -0.4181306 (Change in ratio of local currency sovereign bonds to CET1 capital) [values shown in pairings].
  - Holdings to CET1 capital (ratio) samples for 2019 and 2020: CHL 99.89664128845403 (2020), 99.72421552351028 (2019).
  - Regional summary: Middle East and Central Asia — 68.26109313964844 (Scenario haircut), 37 (Historical haircut); Latin America — 44.02824401855469, 37; Europe — 42.64580154418945, 37; Asia and the Pacific — 40.918052673339844, 37.
- Figure 2.8: transmission strength (effect of a one-standard deviation shock on other sectors’ default risk):
  - Estimated range of coefficients max: Sov → Banks 0.1604191, Sov → NFCs 0.2134208, Banks → Sov 0.1087399, Banks → NFCs 0.2747806, NFCs → Sov 0.1945094, NFCs → Banks 0.1328444.
  - Estimated range of coefficients min: Sov → Banks -0.0539895, Sov → NFCs -0.023888, Banks → Sov -0.0338717, Banks → NFCs -0.0028517, NFCs → Sov -0.0484447, NFCs → Banks -0.0011748.
  - Average effect: Sov → Banks 0.034326075000000005, Sov → NFCs 0.061411658333333334, Banks → Sov 0.017022583333333337, Banks → NFCs 0.062459024999999994, NFCs → Sov 0.013851333333333335, NFCs → Banks 0.03377728333333334.
- Figure 2.9: cumulative changes following a global financial conditions shock (Percentage points):
  - Sovereign default risk, quarters after shock sample: Quarter 1 — High public debt level 0.04423386976122856, Average public debt level 0.04260649532079697; Quarter 2 — 0.06007944047451019 (High), 0.039047446101903915 (Average); Quarter 3 — 0.0707940086722374 (High), 0.04008356109261513 (Average).
  - Bank default risks, quarters after shock sample: Quarter 1 — High bank-sovereign exposure level 1.4759360551834106, Average 0.6197550892829895; Quarter 2 — High 4.164270401000977, Average 2.0764219760894775; Quarter 3 — High 4.169623374938965, Average 2.26969575881958.
- Figure 2.10: transmission via exposure channel (Percentage points and ratios):
  - Change in banks’ expected default frequency following sovereign distress for banks with higher sovereign bond holdings: Average-capitalized banks 0.40399999999999997, Less-capitalized banks 0.7615999999999999.
  - Change in bank capital (Change in equity-to-assets): -0.211 (Average-capitalized banks), -0.579 (Less-capitalized banks).
  - Change in lending (Change in loans-to-assets): -1.666 (Average-capitalized banks), -1.938 (Less-capitalized banks).
- Figure 2.11: bank government support ratings and abnormal returns:
  - Support rating floor scale examples (numerical scale from 0 to 17): CHN — 2007 8.391803, 2020 8.885622.
  - Cumulative abnormal returns / scenario samples: Normal times 0 (example column), Sovereign stress (low public debt) 0.2689977, Sovereign stress (high public debt) 4.469016 (sample pairing for CHN).
  - Country examples: THA 2007 6.251056, 2020 5.684538; PHL 2007 1.494007, 2020 5.392833.
- Figure 2.12: effects of sovereign downgrades on firms:
  - Distribution sample point: rating change bin -12 density 0.0211864406779661.
  - Effect on Investment: -16.729 (Percentage points).
  - Effect on Debt issuance: -16.0805 (Percentage points).
- Figure 2.1.1: Bank holdings of sovereign debt (Percent of total bank assets), 2018–20 vs 2008–10:
  - Pakistan: 2018–20 38.34832, 2008–10 20.31678.
  - Brazil: 25.86176, 21.72658.
  - Argentina: 21.54229, 20.5144.
  - Hungary: 20.79895, 10.04098.
  - India: 20.72925, 21.64678.
  - Mexico: 19.6364, 23.16718.
  - Poland: 18.39588, 14.11308.
- Figure 2.1.2: drivers and state-owned banks’ behavior:
  - Drivers of bank holdings (percentage-point coefficients): Gross public debt 5.340085; Interest rate 1.2344254000000001; Stock market capitalization -0.8856674999999999; Credit to the private sector -4.5633775000000005.
  - Additional purchase during periods of high fiscal need by state-owned banks and less-capitalized banks samples: High sovereign stress — Additional purchase during periods of high fiscal need 25.75, Additional purchase by less-capitalized banks 24.28; Full sample — 9.88 (Additional purchase during high fiscal need), 4.95 (Additional purchase by less-capitalized banks).

*Source: ch2data (GFSR Chapter 2 Apr. 2022 dataset).*

---


_Source: https://www.imf.org/-/media/files/publications/gfsr/2022/april/data/ch2data.xlsx_