Global Financial Stability Report
Market Developments and Issues
April 2006
On this site, the term "country" does not in all cases refer to a territorial entity that is a state as understood by international law and practice. As used here, the term also covers some territorial entities that are not states. Dependent territories of member countries are listed alphabetically followed by a description of the constitutional relationships with their member countries.
©2006 International Monetary Fund
Ordering Information
The Global Financial Stability Report provides semiannual assessments of global financial markets and addresses emerging market financing in a global context.* |
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| Contents | |
| Preface (192KB pdf file) | |
| Chapter I. | Global Financial System Resilience in the Face of Cyclical Challenges (1,100KB pdf file) |
| Possible Cyclical Challenges Facing Financial Markets | |
| Assessment of Financial Stability and Policy Implications | |
| Appendix: Emerging Market Financing Flows | |
| References | |
| Chapter II. | The Influence of Credit Derivative and Structured Credit Markets on Financial Stability (352KB pdf file) |
| Market Growth and Development | |
| Financial Stability and Potential Economic Effects | |
| Conclusions and Policy Implications | |
| References | |
| Chapter III. | Structural Changes in Emerging Sovereign Debt and Implications for Financial Stability (960KB pdf file) |
| Improvements in Emerging Market Sovereign Debt Structure and Investor Base | |
| EM Sovereign Debt Structures, Financial Vulnerabilities, and Contagion | |
| Conclusions and Policy Implications | |
| Appendix I: Selected Operations by EM Sovereigns | |
| Appendix II: Description of Data | |
| References | |
| Glossary (192KB pdf file) | |
| Annex: Summing Up by the Chairman (192KB pdf file) | |
| Statistical Appendix (1,300KB pdf file) | |
| Boxes | |
| 1.1 | Financial Systems in Mature and Emerging Markets |
| 1.2 | Is the Market Underpricing Risk? |
| 1.3 | Flattening and Inversion of the Yield Curve: Implications and Outlook |
| 1.4 | Foreign Direct Investment in Emerging Market Countries |
| 1.5 | Main Drivers of Emerging Market Bond Spreads: Fundamentals or External Factors? |
| 1.6 | Petrodollar Recycling and Capital Flows into the United States |
| 1.7 | Financial Implications of an Avian Flu Pandemic |
| 1.8 | Collective Action Clauses |
| 2.1 | Credit Derivatives: Basic Taxonomy and Terminology |
| 2.2 | Synthetic Credit Risk Transfer and EM Securitization |
| 2.3 | Use of Synthetic Techniques for Insurance Risk |
| 2.4 | Islamic Finance and Credit Risk Transfer |
| 2.5 | Delta-Adjusted Measure of Risk Transfer |
| 2.6 | Impact of Bond Spreads on Credit Extension |
| 3.1 | Best Practices in Debt Management from OECD Countries |
| 3.2 | Developments in Debt and Risk Management Capacity in Emerging Markets |
| 3.3 | Mexican Warrants |
| 3.4 | Cross-Country Differences in the Currency Composition of Domestic Sovereign Debt |
| 3.5 | Technical Factors Contributing to Widening Investor Base |
| 3.6 | Impact of Changes in Sovereign Debt Structure on Sovereign Credit Risk |
| Tables | |
| 1.1 | Sectoral Balance Sheets |
| 1.2 | Equity Valuations |
| 1.3 | Emerging Markets and Developing Countries: Current Account Balance and External Financing |
| 1.4 | Emerging Market External Financing |
| 3.1 | Emerging Markets: Macroeconomic Fundamentals |
| 3.2 | Sovereign Debt Indicators: Sample Description, End-2004 |
| 3.3 | Sovereign Debt Structures of Individual EM Countries |
| 3.4 | EM Prefinancing of 2006 External Debt |
| 3.5 | Selected External Liability Management Operations by EM Sovereigns, 2003–05 |
| Figures | |
| 1.1 | Financial Indicators for U.S. and European Banks |
| 1.2 | Corporate Spreads |
| 1.3 | Implied Volatilities |
| 1.4 | Ten-Year Inflation Expectations |
| 1.5 | Short-Term Interest Rate Expectations |
| 1.6 | Corporate Upgrade Minus Corporate Downgrade Actions |
| 1.7 | Bank Lending Standards from Surveys of Loan Officers |
| 1.8 | Nonfinancial Corporate Financing Gap |
| 1.9 | U.S. Corporate Sector Earnings Interest Coverage Ratio |
| 1.10 | Net U.S. Corporate Dividend Payments |
| 1.11 | Japanese Dividend Growth and Payout Ratio |
| 1.12 | Announced Share Buybacks |
| 1.13 | Global Merger Activity |
| 1.14 | Issuance of Leveraged Loans |
| 1.15 | U.S. Asset-Backed Spreads |
| 1.16 | Emerging Market Spreads |
| 1.17 | Spread Differences Between Emerging Market and U.S. Corporates |
| 1.18 | Asset Class Performance, 1990–2006 |
| 1.19 | Asset Class Performance, 2003–06 |
| 1.20 | Cumulative Gross Annual Issuance of Bonds, Loans, and Equity |
| 1.21 | Gross Bond Issuance |
| 1.22 | Quarterly Net Issuance |
| 1.23 | Syndicated Loan Commitments |
| 1.24 | Equity Placements |
| 1.25 | Nonresident Holdings of Local Government Bonds |
| 1.26 | Cumulative Net Inflows into Emerging Market Equity Funds |
| 1.27 | Flows into Asian Emerging Market Equities |
| 1.28 | Turkey: Foreign Investment in the Stock Market |
| 1.29 | Mexico: Nonresident Holdings of Local Equities |
| 1.30 | Brazil: Foreign Investment in the Stock Market |
| 2.1 | Global Credit Derivatives Outstanding |
| 2.2 | Global Issuance of Collateralized Debt Obligations: Cash Versus Synthetic |
| 2.3 | Credit-Oriented Hedge Fund Assets Under Management VersusCredit Derivatives Outstanding |
| 2.4 | Global Issuance of Collateralized Debt Obligations by Underlying Assets |
| 2.5 | Growth of Credit Derivatives Market Relative to Growth of Interest Rate Swaps Market |
| 2.6 | Credit Cycle Dynamics |
| 3.1 | EM Public Debt, Debt Service, and Credit Ratings |
| 3.2 | EM Private Sector Debt Held by Nonresidents |
| 3.3 | Reserves Accumulation and External Debt Management Operations |
| 3.4 | Structure and Dynamics of EM Sovereign and External Debt |
| 3.5 | Currency Composition and Jurisdiction of Issuance of EM Sovereign Marketable Debt |
| 3.6 | Gross International Debt Securities Issuance by EM Sovereigns |
| 3.7 | Maturity Structure and Indexation of Domestic Sovereign Marketable Debt |
| 3.8 | Average Remaining Maturity of Local Currency Fixed-Rate Marketable Debt of Selected EM Sovereigns |
| 3.9 | Composition of Investors in Domestic Debt of Selected Mature Markets |
| 3.10 | EM Investor Holdings of Domestic Central Government Debt |
| 3.11 | Risk-Return by Asset Class, 2001–05 |
| 3.12 | Investment Flows in EM Debt |
| 3.13 | EM Domestic Debt: Shares Held by Foreign Investors |
| 3.14 | Share of Nonresident Holdings of Government Local Currency Bonds |
| 3.15 | Allocation of International Investors in EM Bonds to Local Currencies |
| 3.16 | Holders of EM Domestic Debt |
| 3.17 | Holdings of External Debt by Residents of Issuing Country |
| 3.18 | Share of Foreign Currency Debt in Total Sovereign Marketable Debt |
| 3.19 | Foreign Exchange Risk Exposures of Selected EM Sovereigns |
| 3.20 | External Sovereign Market Debt Maturing in Less Than One Year |
| 3.21 | Short-Term Domestic Sovereign Marketable Debt |
| 3.22 | Domestic Sovereign Debt Maturing in Less Than One Year |
| 3.23 | Modified Duration of the EMBIG and GBI-EM Indexes of Selected EM Countries |
| 3.24 | Six-Month Correlations of Daily Returns for EM Bonds |
| 3.25 | Adjusted and Unadjusted Correlations of EM Returns |
| 3.26 | Geographical Distribution of EM Creditors, End-2003 |
|
On this site, the term "country" does not in all cases refer to a territorial entity that is a state as understood by international law and practice. As used here, the term also covers some territorial entities that are not states. Dependent territories of member countries are listed alphabetically followed by a description of the constitutional relationships with their member countries. |