## GFSR Chapter 2 Oct. 2025 — dataset overview

## Source details

**Canonical URL:** [GFSR Chapter 2 Oct. 2025 — dataset overview](https://www.imf.org/-/media/files/publications/gfsr/2025/october/data/ch2data.xlsx)

## Other formats

- [Markdown version](/-/media/files/publications/gfsr/2025/october/data/ch2data.xlsx.md)
- [Structured JSON version](/-/media/files/publications/gfsr/2025/october/data/ch2data.xlsx.json)

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### Dataset scope and structure
- Worksheet count: 28 named worksheets (samples provided for many). Sample worksheet names include:
  - "GFSR Chapter 2 Oct. 2025"
  - "Table of Contents"
  - "Figure 2.1."
  - "Figure 2.2."
  - "Figure 2.3."
  - "Figure 2.4."
  - "Figure 2.5."
  - "Figure 2.6."
  - "Figure 2.7."
  - "Figure 2.8."
  - "Figure 2.9."
  - "Figure 2.10."
  - "Figure 2.11."
  - "Figure 2.12."
  - "Figure 2.13 "
  - "Figure 2.1.1."
  - "Figure 2.1.2"
  - "Figure 2.2.1"
  - "Figure 2.3.1"
- Worksheets contain mixed content: headings, descriptive text, panel and time-series data, and formula references (for example, Table of Contents cells use formulas referencing "'GFSR Chapter 2 Oct. 2025'!B23:J23").
- Date metadata visible in sample rows: "2025-10-01T00:00:00.000Z" appears in the "GFSR Chapter 2 Oct. 2025" worksheet sample.

### Major figures and variables included (by worksheet)
- Figure 2.1. — "Key Developments in the Global Foreign Exchange Market"
  - Panel 1: "FX Market Turnover, by Instrument" (Daily average trillions of dollars, net-net basis)
  - Sample year/instrument observations:
    - "1998": Spot 0.567811, FX swaps 0.733806, Outright forwards 0.127667, Options and other products 0.087093, Currency swaps 0.009902
    - "2001": Spot 0.386212, FX swaps 0.655888, Outright forwards 0.130336, Options and other products 0.059568, Currency swaps 0.00719
    - "04": Spot 0.630965, FX swaps 0.954162, Outright forwards 0.208796, Options and other products 0.117062, Currency swaps 0.021108
    - "07": Spot 1.004889, FX swaps 1.71437, Outright forwards 0.36173, Options and other products 0.211657, Currency swaps 0.031497
    - "10": Spot 1.489081, FX swaps 1.759154, Outright forwards 0.474694, Options and other products 0.206952, Currency swaps 0.04278

- Figure 2.2. — "Macrofinancial Uncertainty and Foreign Exchange Market Conditions"
  - Panels include:
    - "CIP Deviation Relative to US Dollar" (Basis points) — monthly series with median, p25, p75
    - "Bid-Ask Spread Relative to US Dollar" (Percent) — monthly series with median, p25, p75
    - "Excess Exchange Rate Return Volatility Relative to US Dollar" (Percentage points) — monthly series with median, p25, p75
  - Sample monthly values:
    - "2005m1": CIP median -5.495835, bid-ask median 0.0788104
    - "2005m2": CIP median -4.422026, bid-ask median 0.0675286, excess volatility 0.5701201
    - "2005m3": CIP median -6.143462, bid-ask median 0.069266, excess volatility 0.5477881
    - "2005m4": CIP median -4.35048, bid-ask median 0.0854136, excess volatility 0.5139761
    - "2005m5": CIP median -6.027495, bid-ask median 0.0703203, excess volatility 0.4914081

- Figure 2.4. — "Structure and Trends in the Global Foreign Exchange Market"
  - Panels include:
    - "FX Derivatives, by Instrument Type, 1998–2024" (Trillions of dollars)
    - "FX Derivatives, by Counterparty, 1998–2024" (Trillions of dollars)
    - "Composition of FX Swaps, by Tenor, 2015:M1–2025:M5" (Percent)
    - "FX Spot and Swap Turnover, by Currency Pair, 2015:M1–2025:M5" (Trillions of dollars)
  - Sample values:
    - Year "1998": Total OTC FX derivatives 22.043557, FX swaps and forwards 14.658408, Currency swaps 2.323585, Derivatives 5.040082
    - Year "1998" (counterparty breakout): Total OTC FX derivatives 22.043557, Reporting dealers 8.839519000000001, Other financial institutions 8.209672000000001, Nonfinancial customers 4.973098
    - Year "2000": Total OTC FX derivatives 19.826645, FX swaps and forwards 13.774657999999999, Currency swaps 3.095093, Derivatives 2.928904

- Figure 2.5. — "Bank and Nonbank Financial Institutions’ Presence in the Global Foreign Exchange Market"
  - Panels include spot and swap turnover by counterparty, dealer concentration indices, share of NBFIs in FX swaps, and NBFIs’ hedging pressure by currency.
  - Sample entries:
    - Panel "2. Network of Spot Euro–US Dollar Sectoral Trading Activity, 2024 (Share)" — 2015 sample: 1093.4138, 702.39929, 2724.1797, 1391.6676, 1000, 1800
    - Panel "4. Dealer Concentration in FX Swaps, 2015:M1–2025:M5" — 2015 median: 1099.5274, p25 712.05261, p75 2981.054, tenor median 1670.6929

- Figure 2.6. — "Net Purchase of US Dollars and Macro‑financial Uncertainty"
  - Panel "1. Net US Dollar Spot Flows versus VIX and EPU, 2015:M1–2025:M5" (Weekly correlation in four-week moving averages)
  - Sample correlations:
    - "US banks": US EPU -0.1028, VIX -0.1815
    - "US nonbank institutions": US EPU 0.0069, VIX -0.046
    - "Non-US banks": US EPU 0.0234, VIX 0.0795
    - "Non-US nonbank institutions": US EPU 0.1937, VIX 0.2824

- Figure 2.7. — "Effect of Macrofinancial Uncertainty on Foreign Exchange Spot Activity"
  - Panel "1. Change in Spot US Dollar In flows after an Uncertainty Shock" (Percentage points)
  - Sample baseline and large uncertainty shock effects:
    - VIX: Baseline 9.284, Large uncertainty shock 21.79
    - MOVE: Baseline 15.12, Large uncertainty shock 24.27
    - US EPU: Baseline -3.926, Large uncertainty shock 6

- Figure 2.8. — "Effect of Macrofinancial Uncertainty on Foreign Exchange Swap Flows"
  - Panel "1. Change in US Dollar Swap Inflows after an Uncertainty Shock" (Percentage points)
  - Sample inflow responses:
    - VIX, All: 6.648
    - VIX, Below seven days: 3.483
    - VIX, At or above seven days: 8.756
    - MOVE, All: 2.453
    - MOVE, Below seven days: 0.961

- Figure 2.9. — "Effect of Global Macrofinancial Uncertainty Shocks on Foreign Exchange Market Conditions"
  - Panel "1. Effect of an Increase in Uncertainty Measures on CIP Deviation Relative to the US Dollar" (Basis points)
  - Sample effects:
    - VIX: Baseline -13.13, Large uncertainty shock -28.27
    - US EPU: Baseline -5.722, Large uncertainty shock -10.85
    - MOVE: Baseline 1.658, Large uncertainty shock -0.0685

- Figure 2.10. — "Foreign Exchange Market Fragilities as Amplifiers of Shock Transmission"
  - Panel "1. Effect of an Increase in Uncertainty on CIP Deviation Relative to the US Dollar Conditional on Banks’ FX Mismatch" (Basis points)
  - Sample values:
    - VIX Baseline -12.64, CCFR interaction effect -3.124
    - High VIX Shock -21.98, CCFR interaction effect -23.05
    - US EPU Baseline -9.967, CCFR interaction effect -4.169
    - High US EPU Shock -17.34, CCFR interaction effect -8.047

- Figure 2.11. — "Dealers’ Constraints and Foreign Exchange Market Conditions"
  - Panel "1. Effect of an Increase in Uncertainty on CIP Deviation Conditional on Dealers’ Capital Ratios" (Basis points)
  - Sample values:
    - VIX Baseline -11.53, Dealer capital interaction effect 2.122
    - Large VIX shock Baseline -12.36, Dealer capital interaction effect 27.16
    - US EPU Baseline -3.568, Dealer capital interaction effect 5.979
    - Large US EPU shock Baseline 0.458, Dealer capital interaction effect 18.07

- Figure 2.12. — "Policy Mitigating Factors"
  - Panel "1. Mitigating Effect of FX Swap Lines on CIP Deviations after External Shocks" (Basis points)
  - Sample values:
    - VIX Baseline -13.88, Swap line interaction effect 5.557
    - Large VIX Shock Baseline -31.58, Swap line interaction effect 30.4
    - US EPU Baseline -7.3, Swap line interaction effect 5.2
    - Large US EPU Shock Baseline -13.28, Swap line interaction effect 10.83

- Figure 2.13 — "Financial Spillovers of Foreign Exchange Market Stress"
  - Panels include:
    - "Effect of Cross-Currency Bases on Financial Conditions" (Standard deviations)
    - "Effect of Cross-Currency Bases on Financial Conditions with FX Mismatches" (Standard deviations)
    - "Public Debt and the Effect of Cross-Currency Bases on Five-Year Sovereign Bond Yields" (Basis points)
  - Sample estimates at Weeks 0–4 and confidence intervals presented (for example, Weeks 0 estimate 0.381944212102779 with confidence interval 0.116949517423895 to 0.646938906781662)

- Figure 2.1.1. — "Broad US Dollar Index and VIX, January 2, 2025, to May 15, 2025"
  - Index sample values (observation date Jan. 2025):
    - Nominal Broad USD Index (right-axis) 129.6666, VIX 17.93
    - Subsequent daily index entries sample: 129.6721 and VIX 16.13; 128.7878 and VIX 16.04; 128.8574 and VIX 17.82; 129.3038 and VIX 17.7; 129.4927 and VIX 18.07; 130.0513 and VIX 19.54

- Figure 2.2.1 — "Effect of CLS Entry on Excess Foreign Exchange Returns and Volatility"
  - Sample effects:
    - "Effects": Excess returns -11, Volatility -3.4; Panel analysis (2002–25) Excess returns -34, Volatility -3.1

- Figure 2.3.1 — "Effect of Interdealer Platform Disruption on Market Liquidity"
  - Sample estimates (Standard deviations):
    - Spot bid-ask spread 0.193558, Forward bid-ask spread 0.200059, Realized illiquidity 0.1008, Price dispersion 0.189202

### Data types and frequency
- Data includes multiple frequencies: annual ("Year" panels), monthly ("2005m1" style), weekly and daily series (e.g., "2015:M1–2025:M5", "January 2, 2025, to May 15, 2025"), and panel/event windows (weeks from shock).
- Units used across worksheets: trillions of dollars, billions of dollars, percent, percentage points, basis points, standard deviations, index values, and raw counts.

### Notable numeric highlights (preserved exactly as in dataset samples)
- FX turnover snapshots: Spot 1.489081, FX swaps 1.759154, Outright forwards 0.474694, Options and other products 0.206952, Currency swaps 0.04278 (labelled "10")
- Effects of uncertainty on spot inflows: VIX 9.284 (Baseline), 21.79 (Large uncertainty shock)
- CIP deviation responses to VIX: Baseline -13.13, Large uncertainty shock -28.27
- Swap line interaction on CIP deviations: VIX Baseline -13.88, Swap line interaction effect 5.557; Large VIX Shock Baseline -31.58, Swap line interaction effect 30.4
- Correlations of net US dollar spot flows with VIX and US EPU for "Non-US nonbank institutions": US EPU 0.1937, VIX 0.2824

*Source: ch2data (GFSR Chapter 2 Oct. 2025) — https://www.imf.org/-/media/files/publications/gfsr/2025/october/data/ch2data.xlsx*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2025/october/data/ch2data.xlsx_