## dataset overview

## Source details

**Canonical URL:** [dataset overview](https://www.imf.org/-/media/files/publications/gfsr/2022/october/data/ch3data.xlsx)

## Other formats

- [Markdown version](/-/media/files/publications/gfsr/2022/october/data/ch3data.xlsx.md)
- [Structured JSON version](/-/media/files/publications/gfsr/2022/october/data/ch3data.xlsx.json)

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### Dataset scope and structure
- Workbook contains multiple worksheets linked to Chapter 3 of the Global Financial Stability Report (GFSR), titled "Chapter 3. Asset Price Fragility in Times of Stress: the Role of Open-end Investment Funds".
- Key worksheets include: "GFSR Chapter 3 Oct. 2022", "Table of Contents", and figures labeled "Figure 3.1." through "Figure 3.1.1." with time series and cross-sectional data on open-end investment funds.
- Time coverage in sample rows spans at least 2002 through 2022 with monthly and quarterly series (examples: "2002:Q1", "2002:M1", "2013:Q4", "2022:Q1").

### Major themes (by figure titles)
- Developments in Open-End Investment Funds (Figure 3.1.)
- How the March 2020 Market Turmoil Highlighted the Vulnerabilities of Open-End Investment Funds (Figure 3.2.)
- Large Outflows from Open-End Investment Funds amid Monetary Policy Tightening by Major Central Banks (Figure 3.3.)
- Cross-Border Investment by Open-End Investment Funds in Emerging Market Economies (Figure 3.4.)
- Liquidity Mismatch of Open-End Investment Funds and Systemic Risk (Figure 3.5.)
- Liquidity of the Portfolio Holdings of Open-End Investment Funds (Figure 3.6.)
- Asset-Level Vulnerability Measure (Figure 3.7.)
- Bonds Held by Vulnerable Funds Have Underperformed in 2020 and 2022 (Figure 3.8.)
- Open-End Investment Fund Vulnerabilities Contribute to Fragility in Corporate Bond Markets (Figure 3.9.)
- Asset-Level Vulnerabilities Amplified by Market Stress and Herding (Figure 3.10.)
- Spillovers from Advanced Economy Open-End Investment Funds to Asset Prices in Emerging Market Economies (Figure 3.11.)
- Transmission Channels of Open-End Investment Fund Vulnerabilities (Figure 3.12.)
- Open-End Investment Fund Vulnerabilities and Financial Conditions (Figure 3.13.)
- Availability and Implementation of Liquidity Management Tools (Figure 3.14.)
- Liquid Asset Holdings of Open-End Investment Funds (Figure 3.15.)
- Effectiveness of Swing Pricing in Reducing Asset Price Fragility (Figure 3.16.)
- Asset Price Fragility and Exchange-Traded Funds (Figure 3.1.1.)

### Selected data points and statistics (exact values preserved)
- Figure 3.1. (panel 1 sample row for 2002):
  - Year: 2002
  - Equity: 2.508633298233794
  - Fixed income: 1.3202212057137261
  - Mixed: 0.5220192860390896
  - Money market: 0.2850872370189599
  - Other: 0.09772304464278614
  - Percent of NBFI sector (right scale): 8.148057930044024
- Figure 3.1. (panel 2 sample row for 2002:Q1 domicile breakdown):
  - Date: "2002:Q1"
  - United States: 3.100011155586
  - Ireland: 0.01723219682466536
  - Luxembourg: 0.1160007881512632
  - United Kingdom: 0.1370921076107425
  - Other AEs: 0.1952643521305052
  - EMs: 0.011768511079378352
- Figure 3.1 (panel 3 sample row for 2002 asset-type funds):
  - Year: 2002
  - High-yield bond funds: 0.10291454084826673
  - EM equity funds: 0.031114694937828122
  - EM bond funds: 0.0376941469837392
  - Corporate bond funds: 0.043236570588807366
- Figure 3.2. (monthly net flows sample for 2002:M1):
  - Date: "2002:M1"
  - Bond funds: 1.3025426120110917 (Percent of lagged total net assets)
  - Equity funds: 0.6272316813452161 (Percent of lagged total net assets)
- Figure 3.3. (panel 1 sample row for 2021:M7):
  - date_for_graphing: "2021:M7"
  - date: "2021-07-07T00:00:00.000Z"
  - Federal funds rate: 0.25
  - High-yield bond funds (cumulative flows): 0.3039
  - Investment-grade bond funds (cumulative flows): 0.2735
- Figure 3.4. (cross-border allocations sample for 2004:M1):
  - Date: "2004:M1"
  - Africa: 0.0100410807
  - Emerging Asia: 0.1078932034
  - Emerging Europe: 0.0276304247
  - Latin America: 0.0395506601
  - Middle East: 0.0027960317
  - Cumulative cross-border Bond flows (2004:M1): 0.819714691 (Trillions of US dollars)
  - Cumulative cross-border Equity flows (2004:M1): 3.862256724 (Trillions of US dollars)
- Figure 3.6. (fund-level bid-ask spread, 2013:Q4):
  - Date: "2013:Q4"
  - Equity funds-25th percentile: 0.041501596570014954
  - Equity funds-75th percentile: 0.18859539926052094
  - Equity funds (median): 0.08965909481048584
  - Bond funds-25th percentile: 0.22607606649398804
  - Bond funds-75th percentile: 0.7838186621665955
  - Bond funds (median): 0.4076884984970093
  - For 2013:Q4, Investment-grade bond funds: 0.44978663325309753 (panel 2)
  - EM sovereign bond funds: 0.10431590676307678
  - High-yield bond funds: 0.9410799741744995
- Figure 3.7. (asset-level vulnerability, 2013:Q4):
  - Date: "2013:Q4"
  - Equities-25th percentile: 0.11139769852161407
  - Equities-75th percentile: 0.29382386803627014
  - Equities (median): 0.20575641095638275
  - Bonds-25th percentile: 0.2553090453147888
  - Bonds-75th percentile: 0.6894819140434265
  - Bonds (median): 0.3807990252971649
  - Asset types (2013:Q4) medians: Corporate bonds 0.4678731858730316; High-yield corporate bonds 0.8749021887779236; High-yield sovereign bonds 0.8307179808616638; EM equities 0.24164512753486633; EM bonds 0.6868301630020142; Small-cap equities 0.25041282176971436
- Figure 3.8. (cumulative bond returns sample start points):
  - 2020 series start date: "2020-01-03T00:00:00.000Z" — Most vulnerable: 0; Least vulnerable: 0
  - 2022 series start date: "2022-01-07T00:00:00.000Z" — Most vulnerable: -0.9153334423899651; Least vulnerable: -0.9153334423899651
- Figure 3.9. (effect of vulnerability on return volatility):
  - All bonds: 22.7 (Percent of median volatility)
  - All: 24.6 (Percent of median volatility)
  - High yield: 24.2 (Percent of median volatility)
  - Investment grade: 10.9 (Percent of median volatility)
- Figure 3.10. (differential effects — selected values):
  - All bonds (VIX): 20.115298640000002 (Percent of median volatility)
  - All bonds (Monetary policy uncertainty): 19.050302340000002
  - All (VIX): 16.06770806
  - Corporate bonds (Herding): 4.12587308
  - Corporate bonds (Sell-Herding): 4.91716276
- Figure 3.11. (spillovers AE fund vulnerability → EM asset volatility):
  - All bonds: 9.4 (Percent of median volatility)
  - All: 22.7 (Percent of median volatility)
  - High yield: 25.3 (Percent of median volatility)
  - Investment grade: 8.3 (Percent of median volatility)
  - Differential in high-stress vs low-stress (All bonds): 17.41690492
- Figure 3.12. (effect of fund illiquidity on outflows by VIX percentile):
  - VIX Index percentiles: 50 → Mean 0.09563497453927994; Confidence Interval 0.08129063993692398
  - VIX Index percentiles: 55 → Mean 0.08427684754133224; Confidence Interval 0.08092362433671951
  - VIX Index percentiles: 60 → Mean 0.12207275629043579; Confidence Interval 0.08606551587581635
- Figure 3.14. (availability of liquidity management tools, 2021:Q4 sample):
  - Mandatory liquidity buffers — Not available: 92.31305875092059; Available: 7.008745418834729; Unknown: 0.6781958302447019; Not available or not implemented: 92.31305875092059
  - Swing pricing — Not available: 5.6732355752607235; Available but not implemented: 64.96856530971698; Recently available: 1.6592675150457945; Available: 27.02073576973179; Unknown: 0.6781958302447019; Not available or not implemented: 70.6418008849777
- Figure 3.15. (cash and cash equivalent holdings, 2013:Q4):
  - Date: "2013:Q4"
  - Equity funds (percent of fund’s net assets): 1.5199999809265137
  - Equity funds-25th percentile: 0.41999998688697815
  - Equity funds-75th percentile: 3.390000104904175
  - Bond funds: 4.164999961853027
  - Bond funds-25th percentile: 1.25
  - Bond funds-75th percentile: 9.889999389648438
  - Trend (cash holdings): 3.9082353115081787
  - Net inflow: 2.014
  - Net inflow x stress: 0.264
  - Net outflow: -1.367
  - Net outflow x stress: 0.543
- Figure 3.16. (swing pricing sample formulas and results):
  - Vulnerability (formula result): 11.3
  - Swing (formula result): -1.6
  - Vulnerability x swing (formula result): -2
  - Fixed Income — Maximum Downward Swing Factor (Mean): 1.2525396825396824; 25th percentile: 0.3; Median: 2; 75th percentile: 2; Min: 0; Max: 2

*Source: ch3data — "GFSR Chapter 3 Oct. 2022" worksheet.*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2022/october/data/ch3data.xlsx_