Grappling with Crisis Legacies: IMF Global Financial Stability Report (GFSR)
Global Financial Stability Report, September 13, 2011
Source details
- Canonical URL
- Grappling with Crisis Legacies: IMF Global Financial Stability Report (GFSR)
Other formats
Bibliographic details
- Published: September 13, 2011
- Series: Global Financial Stability Report
Overall assessment
- The September 2011 issue cautions that the risks to global financial stability have increased substantially in recent months.
- Heavy public debt burdens and weak growth prospects in many advanced economies combined with a series of shocks to the global financial system.
- The crisis has moved into its fifth year and "entered a new phase in which political differences within and across economies are impeding progress to address the legacies of the crisis."
- Emerging markets, despite brighter growth prospects, face the risk of sharp reversals and must guard against the buildup of financial vulnerabilities.
- The Global Financial Stability Report provides semiannual assessments of global financial markets and addresses emerging market financing in a global context.
Asset allocation and investor behavior
- The Report examines how the ongoing low interest rate environment and high uncertainty are driving the asset allocations of long-term, real-money institutional investors.
- Key finding: such investors have moved toward safety and liquidity.
Crisis indicators, macroprudential tools, and policy guidance
- The Report looks at variables that can act as advance indicators of financial crisis.
- It examines how the use of countercyclical capital buffers can help to dampen destabilizing cycles.
- Chapter themes (summaries of analytical focus):
- Overcoming Political Risks and Crisis Legacies: Global stability assessment, sovereign vulnerabilities and contagion risks, search for yield and credit excesses, and policy priorities.
- Long-Term Investors and Their Asset Allocation: Longer-term trends in global asset allocation, determinants of private asset allocation, and policy implications.
- Toward Operationalizing Macroprudential Policies: When to act? From sources of risk to systemic risk indicators; quest for leading indicators of financial sector distress; macroprudential indicators and policies; conclusions and practical guidelines.
Analytical contributions and methods
- The Report uses structural macro-financial models to derive helpful hints for moving from sources of risk to systemic risk indicators.
- It searches for leading indicators of financial sector distress and proposes ways to stitch macroprudential indicators and policies together.
- Empirical and modeling annexes provide detailed analyses, including predicting the probability of banking crises and finding robust near-coincident indicators.
Policy implications highlighted
- Strengthen monitoring of sovereign vulnerabilities and spillover channels between sovereigns and banking/insurance sectors.
- Monitor long-term investor allocations for shifts toward safety and liquidity that can amplify market stresses.
- Deploy countercyclical capital buffers and other macroprudential instruments to dampen destabilizing credit cycles and contain property booms where relevant.
- Use a combination of leading and near-coincident indicators to time macroprudential actions more effectively.
Grappling with Crisis Legacies, September 2011 — IMF Global Financial Stability Report
Content in this bundle
- Figure 1.10. Changes in the Sovereign Investor Base
- Figure 1.12. Financing Sensitivity to an Interet Rate Shock
- Figure 1.13. Size of Euro Area Government Bond Market
- Figure1 14
- Figure 1.16. Bank Debt Issuance as a Percent of Maturing Debt, 2011
- Figure1 17
- Figure 1.18. Spillovers from High-Spread Euro Area Sovereigns to Country Banking Systems
- Figure 1.2. Global Financial Stability Map
- Figure 1.20. European Insurers: Mark-to-Market Impact due to Sovereign Stress
- figure1_23
- Figure 1.24. Contributions to Change in Bank Balance Sheets since End-2009
- Figure1 25
- Figure 1.26. Sovereign Credit Default Swaps: Gross Outstandind Amount
- Figure 1.29. U.S. Household Balance Sheets
- Figure 1.2. Global Financial Stability Map: Assessment of Risks and Conditions
- Figure 1.30. Bank Lending Conditions for Nonfinancial Corporates
- Figure 1.31. U.S. BBB Corporate Credit Spreads versus Real Federal Funds Rate
- Figure1 32
- Figure 1.33. Global Securitization and Structured Products Issuance
- Figure 1.35. U.S. Nonfinancial Corporate Financing
- Figure 1.36. High-Yield Gross Issuance and Leveraged Loan Covenants
- Figure 1.37. Emerging Markets: Capital Flows, Credit, and Equity Prices
- Figure1 38
- Figure 1.39. Emerging Market Corporates versus U.S. High Yield: Yields, Leverage, Returns
- figure1_4
- Figure 1.40. Emerging Market Corporate External Issuance
- Figure 1.41. Emerging Markets External Corporate Issuance, by Sector
- Figure 1.42. Emerging Markets Total Credit to Nonbanking Sector
- Figure 1.43. Model Prediction for NPL Ratios in 2011 and 2012
- Figure 1.44. Impact of Capital Flows Declines
- Figure 1.45. Impact of Terms of Trade Decline
- Figure 1.46. Change in Capital Adequacy Ratios under Combined Macro Shocks
- Figure 1.48. Impulse Response: Model Specification 1
- Figure 1.49. Impluse Responses: Model Specification 2
- figure1_5
- Figure 1.50. Macro Scenarios under Combined Shocks
- Figure 1.6. Historical Volatility in One-Month Treasury Bills During Debt Ceiling Negotiations
- Figure 1.7. Historical Advanced Economy Government Bond Yields around Sovereign Debt Downgrades
- Table 1.1. Indebtedness and Leverage in Selected Advanced Economies
- Table 1.2. Sovereign Market and Vulnerability Indicators
- Table 1.3. Emerging Market Banks: Sensitivity to Macro and Funding Shocks
- Table 1.4. Macro and Financial Indicators for Selected Economies
- boxfigure2_3 — Dataset overview
- Figure 2.1. Asset Allocation of Institutional Investors
- Figure 2.2. Assets of Institutional Investors by Country
- Figure 2.3. Assets under Management by Type of Institutional Investors
- Figure 2.4. Global Asset Allocation of Institutional Investors by Country
- Figure 2.5. Assets under Management by Type of Institutional Investor and Selected Countries, 2009
- Figure 2.6. Foreign Exchange Reserves, Excluding Gold
- figure2_9
- Figure3_3: Event Study Results: Aggregate Indicators Three Years before to Two Years after Crises
- Figure 1. Major Net Exporters and Importers of Capital in 2010
- Figure 9. Twelve-Month Forward Price/Earnings Ratios
- Figure 7. United States: Corporate Bond Market
- Figure 8. Euro Area: Corporate Bond Market
- Figure 9. United States: Commercial Paper Market
- Table 1. Selected Indicators on the Size of the Capital Markets, 2010
- Table 10. Emerging Markets: Mutual Funds
- Table 2. MSCI Equity Market Indices
- Table 3. Emerging Market Bond Index: EMBI Global Yield Spreads
- Table 4. Emerging Market External Financing: Total Bonds, Equities, and Loans
- Table 5. Emerging Market External Financing: Bonds
- Table 6. Emerging Market External Financing: Equities
- Table 7. Emerging Market External Financing: Loans
- Table 8. Equity Valuation Measures: Dividend-Yield Ratios
- sa_table9 — Table 9. Equity Valuation Measures: Price/Earnings Ratios
- تقرير الاستقرار المالي العالمي، سبتمبر 2011 -- موجز للصحافة للفصلين الثاني والثالث
- تقرير الاستقرار المالي العالمي: ملخص واف --عدد سبتمبر 2011
- 2011 年9 月期《全球金融稳定报告》第二, 三章新闻发布要点, 2011 年 9 月 13 日
- 2011 年9 月期《全球金融稳定报告》概要, 2011 年 9 月 21 日
- _pressfpdf
- Rapport sur la stabilité financière dans le monde : Résumé analytique– septembre 2011
- 国際金融安定性報告書
- 国際金融安定性報告書 2011 年9 月 -- 要旨
- Chapter 1 — Selected Boxes and Annex
- chapter 2 Long-Term InvesTors and TheIr asseT aLLocaTIon: Where are They noW?
- Ch3pdf
- Press Points for Chapter 2: Long-Term Investors and Their Asset Allocation: Where Are They Now?
- PRESS POINTS FOR CHAPTER 3: Towards Operationalizing Macroprudential Policies: When to Act?
- Global Financial Stability Report
- Global Financial Stability Report : Statistical appendix, september 2011
- Grappling with Crisis Legacies -- Global Financial Stability Report; September 2011
- Тезисы для прессы по главам 2 и 3
- Доклад по вопросам глобальной финансовой стабильности: Аналитическое резюме -- Сентябрь 2011 года
- Pressspdf
- Informe sobre la estabilidad financiera mundial: Resumen ejecutivo -- Septiembre de 2011