## Dataset overview — ch2data (GFSR Chapter 2 Oct. 2024)

## Source details

**Canonical URL:** [Dataset overview — ch2data (GFSR Chapter 2 Oct. 2024)](https://www.imf.org/-/media/files/publications/gfsr/2024/october/data/ch2data.xlsx)

## Other formats

- [Markdown version](/-/media/files/publications/gfsr/2024/october/data/ch2data.xlsx.md)
- [Structured JSON version](/-/media/files/publications/gfsr/2024/october/data/ch2data.xlsx.json)

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### Content and structure
- Worksheet: "GFSR Chapter 2 Oct. 2024" (rowCount: 32, columnCount: 10)
  - Metadata timestamps present: "2024-10-01T00:00:00.000Z"
  - Repeated title strings: "International Monetary Fund", "Global Financial Stability Report"
- Worksheet: "Table of Contents" (rowCount: 26, columnCount: 12)
  - Contains formula referencing "'GFSR Chapter 2 Oct. 2024'!B23:J23" with result "Chapter 2 Macrofinancial Stability Amid High Global Economic Uncertainty"
- Multiple figure worksheets providing numeric tables and model outputs:
  - "Figure 2.1." (rowCount: 399, columnCount: 29) — Economic and Policy Uncertainty
  - "Figure 2.2." (rowCount: 79, columnCount: 13) — Channels of Transmission
  - "Figure 2.3." (rowCount: 2209, columnCount: 34) — Measures of Macroeconomic and Financial Uncertainty
  - "Figure 2.4." (rowCount: 1567, columnCount: 34) — Uncertainty and Downside Risks to Output (Panel Quantile GaR Model)
  - "Figure 2.5." (rowCount: 2929, columnCount: 33) — Machine Learning GaR model predictive improvements
  - "Figure 2.6." (rowCount: 1090, columnCount: 42) — Macroeconomic Uncertainty and Macro Financial Vulnerabilities
  - "Figure 2.7." (rowCount: 128, columnCount: 49) — Cross-Border Spillover Effects of Foreign Uncertainty
  - Sub-figures: "Figure 2.1.1.", "Figure 2.1.2.", "Figure 2.2.1." with focused tables on tail risks, bank loan growth, and monetary policy framework soundness

### Key numeric findings and sample dataset values
- Figure 2.1. (indices and sample periods)
  - "2010-14": US = -0.43522230000000006; Non-US = -0.03976456999999998
  - Global economic policy uncertainty index section (2010–14): 131.9504590221484; (2010–14) Monetary policy uncertainty index (BBD): 79.46362727643677; (2010–14) Monetary policy uncertainty index (HRS): 94.06025168100993
  - "2015-19": US = -0.21010467499999996; Non-US = -0.11606385500000002
  - Global economic policy uncertainty index (2015–19): 185.09087300783503; Monetary policy uncertainty index (BBD): 64.37242577960541; Monetary policy uncertainty index (HRS): 171.37880299886066
- Figure 2.3. (correlations and standardized values)
  - Example correlation row for "REU": REU with REU = 1; REU with GDPF = -0.4623705; REU with EPU = -0.4606612; VIX row sample (1997) shows 1 and correlations like 0.500822 and 0.5790871
  - Selected standardized measures for United States, years 1990 and 1997 shown (e.g., 1990 entries like -0.4623705)
- Figure 2.4. (Panel Quantile GaR model — Growth-at-Risk, One Quarter Ahead)
  - Real economic uncertainty index: Values: -2.01937948; Negative/Positive error bars: 0.5879513200000002
  - Quantiles and estimates: Quarters = 1, estimate = -2.01937948, max = -1.5998029599999999, range = -0.8391530400000002
  - GDP forecast dispersion row: value -1.83456128; error 0.8323053599999999; Quarters = 2, estimate = -1.45410584, max = -1.10267728, range = -0.70285712
  - Economic policy uncertainty index row: -1.13547744; error 0.5775805999999999; Quarters = 3, estimate = -1.35977944, max = -1.0060880799999998, range = -0.7073827600000002
- Figure 2.5. (Machine Learning GaR improvements; accuracy change relative to benchmark)
  - Quantile random forest, AEs (one-quarter-ahead): 7.389306288977249 (excluding REU) and 11.69441743866063 (including REU)
  - Four-quarters-ahead: Quantile random forest, AEs: 2.216224170746484 (excluding REU) and 9.425880073116655 (including REU)
- Figure 2.6. (Interactions of uncertainty and vulnerabilities)
  - Baseline effect of public debt: -0.33950472
  - Baseline effect of credit: -0.43606296
  - Example effects under low/high uncertainty and estimates:
    - For credit gap, quarters = 1, low = 0.6906127329396968, high = 1.146282705915383, est = 0.9184477194275398
    - For easing in financial conditions under low uncertainty (quarters = 1): 0.6906127329396968; under high uncertainty (quarters = 1): 1.465491197646422; additional est values include 2.35932853316168 and 1.912409865404051
  - Macroprudential policy interplay examples:
    - FCI easing with MPP (under large disconnect) and FCI easing without MPP (under large disconnect) series provided with low/high/est entries (sample numeric entries shown)
- Figure 2.7. (Cross-border spillovers — sample quarters)
  - Quarters = 1: Trade-weighted foreign REU effect est = -1.73309168; low = -2.1962968; high = -1.2698866
  - Banking-exposures weighting (Quarters = 1): est = -1.93171184; low = -3.09574644; high = 2.32806916
  - Portfolio-exposures weighting (Quarters = 1): est = -1.36804172; low = -1.7086984; high = 0.6813134000000001
  - Quarters = 2 examples: trade-weighted est = -0.94533788; low = -1.41325868; high = -0.47741707999999994
- Figure 2.1.1. (Tail risks in financial markets — sample entries)
  - Sovereign spreads, 1 month horizon: est = 9.573683938250982; low = 0.9717980037422334; high = 18.175565180508848
  - Stock market returns, 1 month horizon under "Low vulnerability" and "High vulnerability" examples; downside example for AEs 1 month: -6.3933110120280245; low = -3.853581421889966; high = -8.933040602166082
- Figure 2.1.2. (Bank loan growth downside risks)
  - Real economic uncertainty index, horizon = 1: est = -0.9264356155939296; low = -1.545573761425936; high = -0.3072974697619233
  - Bank-level uncertainty measure, horizon = 1: est = -0.47770916718625417; low = -1.0384985482647273; high = 0.08308021389221909
  - Interaction examples (horizon = 2): Real economic uncertainty with interaction est = -1.0838227005673045; low = -1.4210458011081029; high = -0.7465996000265059
- Figure 2.2.1. (Monetary policy framework soundness)
  - "2000-09" average economic policy uncertainty examples:
    - Low deviation of inflation from target: Economic policy uncertainty = 94.50034
    - High deviation of inflation from target: Economic policy uncertainty = 96.92715
  - GaR baseline under "Baseline": Real economic uncertainty effect = -1.6053421; Economic policy uncertainty effect = -0.4320421
  - "Uncertainty with high deviation of inflation from target": Real economic uncertainty = -0.6859112; Economic policy uncertainty = -1.0354696

### Analytic themes and measures included (explicit from worksheets)
- Indices and standardized measures:
  - Real Economic Uncertainty (REU)
  - GDP forecast dispersion (GDPF)
  - Economic Policy Uncertainty (EPU)
  - World Uncertainty Index (WUI)
  - Financial Uncertainty measures (FINU)
  - VIX and other market implied volatility measures
  - Monetary policy uncertainty indexes (BBD, HRS)
- Model outputs and methodologies:
  - Panel Quantile GaR (Growth-at-Risk) model with quantile estimates, error bars, and horizon-specific results
  - Machine Learning GaR models (Quantile random forest, Quantile neural network) with out-of-sample accuracy change relative to benchmark and Shapley-value–style importance measures
  - Interaction analyses: REU × leverage (credit gap, public debt gap), macro-market disconnect, macroprudential policies (MPP) mitigation scenarios
  - Cross-border spillover weighting schemes: trade-weighted, banking-exposure–weighted, portfolio-exposure–weighted
  - Tail-risk analyses for sovereign spreads, stock market returns, and bank loan growth
  - Soundness of monetary policy framework and conditional GaR effects

### Representative numeric evidence types available for ingestion
- Time series aggregated intervals (e.g., "2010-14", "2015-19")
- Correlation coefficients (e.g., -0.4623705, 0.4481)
- Index levels and standardized values (e.g., 131.9504590221484, 185.09087300783503)
- GaR point estimates, negative/positive error bars, quantile-specific estimates (e.g., -2.01937948; 0.5879513200000002)
- Machine learning accuracy improvements (percent change relative to benchmark, exact decimals)
- Scenario-specific est/low/high triplets for policy and vulnerability interactions across quarters

*Dataset: ch2data — "GFSR Chapter 2 Oct. 2024" (tabulated figures and model outputs as shown in worksheet tables).*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2024/october/data/ch2data.xlsx_