IMF Global Financial Stability Report (GFSR) -- April 2013 -- Table of Contents
Global Financial Stability Report, April 17, 2013
Source details
- Canonical URL
- IMF Global Financial Stability Report (GFSR) -- April 2013 -- Table of Contents
Other formats
Bibliographic details
- Published: April 17, 2013
- Series: Global Financial Stability Report
Overview
- The April 2013 Global Financial Stability Report (GFSR) examines current risks facing the global financial system and policy actions that may mitigate these.
- The report analyzes challenges facing financial and nonfinancial firms as they repair balance sheets and unwind public and private debt overhangs.
- Chapter 1 examines short- and medium-term stability risks in the euro area and the vulnerability of emerging market economies to persistent capital inflows.
- Chapter 2 investigates whether sovereign credit default swaps (SCDS) markets are good indicators of sovereign credit risk.
- Chapter 3 reports on unconventional monetary policy in depth, including policies pursued by the Federal Reserve, the Bank of England, the Bank of Japan, the European Central Bank, and the U.S. Federal Reserve.
Chapter 1 — Acute Risks Reduced: Actions Needed to Entrench Financial Stability
- Main focus:
- Current risks facing the global financial system and policy actions to mitigate them.
- Decline in risks since the October 2012 report attributed to deeper policy commitments, renewed monetary stimulus, and continued liquidity support.
- Challenges for financial and nonfinancial firms as they continue to repair balance sheets and unwind debt overhangs.
- Structural challenges in the euro area and potential risks from persistent or accelerating capital flows to emerging market economies.
- Boxes:
- 1.1 What Has China’s Lending Boom Done to Corporate Leverage?
- Selected tables (titles preserved exactly as in source), including:
- Selected Euro Area Countries: Vulnerability Indicators in the Corporate Sector
- 1.2 Deleveraging Progress, 2011:Q3–2012:Q3
- 1.3 U.S. Nonfinancial Corporate Bonds: Yields, Spreads, and Valuations
- 1.4 Scenarios for U.S. Treasury Bond Market Corrections
- 1.5 Distribution of Bank Lending and Nonperforming Loans
- 1.6 Credit and Asset Market Indicators for Selected Emerging Markets and Other Countries
- 1.7 Comparing Proposals for Structural Reform
- 1.8 Nonfinancial Corporate Debt and Leverage
- 1.9 Nonfinancial Corporate Database Coverage
- 1.10 Corporate Sectoral Breakdown within the Sample
- 1.11 Progress on Deleveraging/Restructuring Plans of Selected Major European Banks, as of January 2013
- Selected figures and indices (titles preserved exactly), including:
- Global Financial Stability Map
- Global Financial Stability Map: Assessment of Risks and Conditions
- Asset Price Performance since October 2012 GFSR
- Global Equity Valuations; Global Equity Valuations, by Country
- Property Price Valuations
- Hard-Currency Debt Valuations in Emerging Market Economies
- U.S. Sovereign Debt Valuations
- Target Balances and Sovereign Bond Yields
- Periphery Euro Area Banks’ Bond Issuance and CDS Spreads
- Italy and Spain: Nonfinancial Firms’ Change in Bank Credit and Net Bond Issuance
- 1.12 Foreign Investor Share of General Government Debt
- 1.13 European Sovereign Bond Spreads, Current and Implied by Forward Curve
- 1.14 Asset Performance, March 15–April 2, 2013
- 1.15 Proportion of System Balance Sheets Encumbered
- 1.16 Periphery Banks’ Covered Bond Issuance and Spreads
- 1.17 Selected EU Banks’ Foreign Claims on Banking Sectors, June 2011–September 2012
- 1.18 Changes in Interest Rates on New Bank Loans, December 2010–January 2013
- 1.19 Corporate Real Interest Rates and GDP Growth, February 2013
- 1.20 Bank Lending to the Nonfinancial Private Sector
- 1.21 Euro Area Periphery Bank Credit
- 1.22 Interaction between Credit Demand and Supply
- 1.23 Interest Rate on New Lending and Decomposition of New Bank Funding Rate
- 1.24 Euro Area Bank Lending Conditions for Firms
- 1.25 Met and Unmet Demand for Bank Credit for Small and Medium-Sized Enterprises
- 1.26 Spread of Interest Rates on New Loans to SMEs over ECB Policy Rate
- 1.27A Corporate Debt; 1.27B Corporate Debt in Percent of GDP
- 1.28 Share of Firms with High Leverage and Low Interest Coverage Ratio, 2011
- 1.29 Share of Firms with High Leverage and Negative Net Free Cash Flow
- 1.30 Required Reduction in Leverage under Different Scenarios
- 1.31 Required Cuts in Capital Expenditures to Stabilize Debt of Euro Area Periphery Firms with High Leverage and Negative Net Free Cash Flow
- 1.32 Bank Core Tier 1 and Wholesale Funding Ratios, 2008:Q4 to 2012:Q3
- 1.33 Bank Leverage and Wholesale Funding Ratios, 2008:Q4 to 2012:Q3
- 1.34 Ranking of Banking Systems Based on Banks’ Balance Sheet Indicators, 2012:Q3
- 1.35 Average Net Interest Margins
- 1.36 Impaired Loans in Selected EU Countries
- 1.37 EU Banks’ Asset Quality and Profitability
- 1.38 Buffers at Individual EU Banks
- 1.39 Bank Risk-Weights and Impairments, Average for 2008–11
- 1.40 Deposit Funding Gaps of Foreign Subsidiaries of Large EU Banks
- 1.41 Average Return on Equity, and Cost of Equity
- 1.42 Ratio of Equity Price to Tangible Book Value, April 2013
- 1.43 GFSR EU Bank Deleveraging Scenarios
- 1.44 Large EU Banks: Contributions to Change in Balance Sheets 2011:Q3–2012:Q3
- 1.45 Banks’ Foreign Claims on All Regions
- 1.46 Net Foreign Assets Position
- 1.47 Global Mutual Fund and Exchange-Traded Fund Flows
- 1.48 Net Issues of Fixed-Income Securities
- 1.49 U.S. Fixed Investment Spending versus Internal Cash Flow
- 1.50 U.S. Nonfinancial Corporate Bond Issuance and Equity Buybacks
- 1.51 U.S. Nonfinancial Firms’ Credit Fundamentals
- 1.52 U.S. Primary Dealer Repo Financing
- 1.53 Global Issuance of Leveraged Loans and Collateralized Debt Obligations
- 1.54 Risk Tolerance for Weakest 10 Percent of U.S. Public Pension Funds
- 1.55 Net Interest Margins and Investment in Risky Assets by U.S. Insurance Companies
- 1.56 U.S. Treasury Sell-Off Episodes
- 1.57 U.S. High-Yield Corporate Spread and Liquidity and Volatility
- 1.58 Holdings of U.S. Corporate Bonds, by Investor Type
- 1.59 Net Capital Flows to Emerging Markets
- 1.60 Selected Emerging Market Bond, Equity, and Loan Issuance
- 1.61 Nonresident Holdings of Domestic Sovereign Debt
- 1.62 Emerging Market Nonfinancial Corporate Issuance
- 1.63 Emerging Market Nonfinancial Corporate Leverage, 2007 and 2012
- 1.64 Foreign-Exchange-Denominated Debt of Nonfinancial Corporations in Emerging Markets
- 1.65 Emerging Market Corporate Issuance, by Type of Issuer
- 1.66 Corporate Leverage in Asia, excluding Japan
- 1.67 Interest Coverage Ratio for Emerging Market Firms
- 1.68 Hard Currency and Local Currency Sovereign Bond Issuance
- 1.69 EMBI Global Spread Tightening (December 2008–12): Decomposition
- 1.70 Local Yield Tightening in Emerging Market Economies (December 2008–12): Decomposition
- 1.71 Impact of Shocks on EMBI Global Spreads
- 1.72 Impact of Shocks on Local Emerging Market Yields
- 1.73 Domestic Credit Growth, 2006–12
- 1.74 Consumer Price Index-Adjusted Residential Property Prices, 2006–12
- 1.75 Gross Nonperforming Loan Ratios, 2010–12
- 1.76 Banks’ Loss-Absorbing Buffers by Region
- 1.77 China: Growth Rate of Credit, by Type
- 1.78 European Investment-Grade Corporate Fundamentals
- 1.79 Developments in Publicly Listed European Companies
- 1.80 Progress in Deleveraging Plans across Sample Banks, 2012
Chapter 2 — A New Look at the Role of Sovereign Credit Default Swaps
- Main findings:
- Examines whether SCDS are good market indicators of sovereign credit risk.
- Finds many negative perceptions of SCDS impact on financial stability are unfounded: SCDS markets do not appear to be more prone to high volatility than other financial markets.
- Analysis does not support the need for a ban on “naked” SCDS protection buying, which went into effect in the European Union in November 2012.
- Section highlights and exhibits (titles preserved exactly), including:
- 2.1 Interconnectedness between Sovereigns and Financial Institutions
- 2.2 The European Union’s Ban on Buying Naked Sovereign Credit Default Swap Protection
- 2.3 What Could be the Impact of the Demise of SCDS?
- 2.4 The Greece Debt Exchange and Its Implications for the SCDS Market
- Rankings of CDS Amounts Outstanding
- Lead-Leg Relationship between Sovereign Credit Default Swaps and Bond Residuals
- List of Countries Included in Empirical Studies
- List of Variables Used in Regression Analysis
- 2.5 Summary of Estimation of Monthly Drivers for Sovereign Credit Default Swap (SCDS) Spreads and Bond Spreads, October 2008–September 2012
- 2.6 Summary of Estimation Results on Drivers for Basis, October 2008–September 2012
- Credit Default Swap (CDS) Contracts, Gross Notional Amounts Outstanding
- Nondealer Buyers and Sellers of Credit Default Swap Protection: Net Positions by Counterparty
- Liquidity Indicators in the Sovereign Credit Default Swaps (SCDS) Market
- Volatility of Sovereign Credit Default Swap (SCDS) Spreads and Sovereign Bond Spreads
- Determinants of Sovereign Credit Default Swap (SCDS) Spreads and Bond Spreads, October 2008–September 2012
- Sovereign Credit Default Swap (SCDS) Price Leadership and Liquidity, March 2009–September 2012
- 2.7 Time-Varying Price Leadership Measures of Sovereign Credit Default Swaps (SCDS)
- 2.8 Sovereign Credit Default Swaps (SCDS): Decomposition of Volatility Factors for Germany, Italy, and Spain, February 2009–October 2012
- 2.9 Markov-Switching ARCH Model of VIX, European TED Spread, and Sovereign Credit Default Swap (SCDS) Indices
- 2.10 Overshooting and Undershooting of Sovereign Credit Default Swaps (SCDS) and Sovereign Bond Markets
- 2.11 Sovereign Credit Default Swaps: Net Notional Amounts Outstanding, Selected EU Countries
- 2.12 Market Liquidity Measures before and after Ban on Short Sales of Sovereign Credit Default Swaps (SCDS)
- 2.13 Constructing the Arbitrage Trade between Credit Default Swaps (CDS) and Bonds
- 2.14 Difference between Sovereign Credit Default Swap Spreads and Sovereign Bond Spreads, Selected Countries
Chapter 3 — Do Central Bank Policies Since the Crisis Carry Risks to Financial Stability?
- Main focus:
- Investigates monetary policies pursued by four central banks: the Federal Reserve, Bank of England, European Central Bank, and Bank of Japan.
- Considers prolonged periods of low real policy interest rates and unconventional measures, including asset purchases.
- Finds these policies have lessened banking sector vulnerabilities and contributed to financial stability in the short term.
- Warns that risks may rise the longer these policies are maintained; recommends targeted micro- and macroprudential tools to mitigate risks while allowing monetary policy to support the macroeconomy.
- Section highlights and exhibits (titles preserved exactly), including:
- 3.1 Financial Stability Risks Associated with Exit from MP-Plus Policies
- 3.2 The Macroeconomic Effectiveness of MP-Plus
- 3.3 Balance Sheet Risks of Unconventional Policy in Major Central Banks
- Asset Holdings of Major Central Banks Related to MP-Plus, 2008–12
- Results from Event Study Regressions
- Marginal Effect of MP-Plus on Banks
- 3.4 Calculated Losses on a 10-Year Bond as a Result of a Rise in Interest Rates
- 3.5 Risks from MP-Plus and Mitigating Policies
- 3.6 Specification of Taylor Rule
- 3.7 Results of the Panel Regressions
- Changes in Central Bank Balance Sheets, 2006–12
- OIS Counterparty Spread Decompositions
- Central Bank Intervention in Real Estate Securities Markets
- Central Bank Holdings of Domestic Government Securities and Market Liquidity, by Maturity
- Correlations between Central Bank Holdings of Government Securities and Market Liquidity, by Maturity of Holdings
- Interest Rate Risk as Reported by U.S. Banks
- Bank Holdings of Government Debt in Selected Economies
- 3.8 Various Measures of the Taylor Gap in the United States
Statistical Appendix and Data Notes
- Statistical appendices (numbered 1–10) include tables and indicators such as:
- 1. Major Net Exporters and Importers of Capital in 2012
- 2. Sovereign Credit Default Swap Spreads
- 3. Selected Credit Default Swap Spreads
- 4. Selected Spreads
- 5. Implied Volatility Indices
- 6. United States: Corporate Bond Market
- 7. Euro Area: Corporate Bond Market
- 8. United States: Commercial Paper Market
- Selected Indicators on the Size of the Capital Markets, 2011
- MSCI Equity Market Indices
- Emerging Markets Bond Index: EMBI Global Sovereign Yield Spreads
- Emerging Market Private External Financing: Total Bonds, Equities, and Loans
- Emerging Market Private External Financing: Bonds
- Emerging Market Private External Financing: Equities
- Emerging Market Private External Financing: Loans
- Equity Valuation Measures: Dividend-Yield Ratios
- 9. Equity Valuation Measures: Price/Earnings Ratios
- 10. Emerging Markets: Mutual Funds
- Data conventions and symbols used:
- “. . . ” to indicate that data are not available;
- “——” to indicate that the figure is zero or less than half the final digit shown, or that the item does not exist;
- “-” between years and months (for example, 2008–09 or January–June) to indicate the years or months covered, including the beginning and ending years or months;
- “/” between years (for example, 2008/09) to indicate a fiscal or financial year.
- “Billion” means a thousand million; “trillion” means a thousand billion.
- “Basis points” refer to hundredths of 1 percentage point (for example, 25 basis points are equivalent to ¼ of 1 percentage point).
- “n.a.” means not applicable.
- Note: Minor discrepancies between constituent figures and totals are due to rounding.
IMF Global Financial Stability Report (GFSR) — April 2013 — Table of Contents
Content in this bundle
- Figure 1.1. Global Financial Stability Map
- Figure 1.10. Periphery Euro Area Banks' Bond Issuance and CDS Spreads
- Figure 1.11. Italy and Spain: Nonfinancial Firms' Change in Bank Credit and Net Bond Issuance
- Figure 1.12. Foreign Investor Share of General Government Debt
- Figure 1.13. European Sovereign Bond Spreads, Current and Implied by Forward Curve
- figure1_14 — Asset Performance, March 15–April 2, 2013
- figure1_15
- Figure 1.16. Periphery Banks' Covered Bond Issuance and Spreads
- Figure 1.16. EU Banks' Foreign Claims on Banking Sectors, June 2011-September 2012
- Figure 1.18. Changes in Interest Rates on New Bank Loans, December 2010-January 2013
- Figure 1.19. Corporate Real Interest Rates and GDP Growth, February 2013
- figure1_2
- Figure 1.20. Bank Lending to the Nonfinancial Private Sector
- Figure 1.21. Euro Area Periphery Bank Credit
- Figure 1.24. Euro Area Bank Lending Conditions for Firms
- Figure 1.25. Met and Unmet Demand for Bank Credit for Small and Medium-Sized Enterprises
- Figure 1.27. Corporate Debt
- Figure 1.28. Share of Firms with High Leverage and Low Interest Coverage Ratio, 2011
- Figure 1.29. Sha\re of Firms with High Leverage and Negative Free Cash Flow
- figure1_3
- Figure 1.30. Required Reduction in Leverage Under Difference Scenarios
- Figure1 31
- Figure 1.32. Bank Core Tier 1 and Wholesale Funding Ratios, 2008:Q4 to 2012:Q3
- Figure 1.33. Bank Leverage and Wholesale Funding Ratios, 2008:Q4 to 2012:Q3
- Figure 1.34. Ranking of Banking Systems Based on Banks' Balance Sheet Indicators: 2012:Q3
- Figure 1.35. Average Net Interest Margins
- Figure 1.36. Impaired Loans in Selected EU Countries
- Figure 1.37. EU Banks' Asset Quality and Profitability
- Figure 1.38. Buffers at Individual EU Banks
- Figure 1.39. Bank Risk-Weights and Impairments, Average for 2008-11
- Figure 1.5. Global Equity Valuations
- Figure 1.40. Deposit Funding Gaps of Foreign Subsidiaries of Large EU Banks
- Figure 1.41. Average Return on Equity, and Cost of Equity
- Figure 1.42. Ratio of Equity Price to Tangible Book Value, April 2013
- Figure 1.43. GFSR EU Bank Deleveraging Scenarios
- Figure 1.44. Large EU Banks: Conributions to Change in Balance Sheets: 2011:Q3-2012:Q3
- Figure 1.45. Banks' Foreign Claims on All Regions
- Figure 1.46. Net Foreign Assets Positions
- Figure 1.47. Global Mutal Fund and Exchange-Traded Fund Flows
- Figure 1.49. Net Issuance of Fixed-Income Securities
- Figure 1.49. U.S. Fixed Investment Spending versus Internal Cash Flow
- Figure 1.5. Global Equity Valuations, by Country
- Figure 1.50. U.S. Nonfinancial Corporate Bond Issuance and Equity Buybacks
- Figure 1.51. U.S. Nonfinancial Firms' Credit Fundamentals
- Figure 1.52. U.S. Primary Dealer Repo Financing
- Figure 1.53. Global Issuance of Leveraged Loans and Collateralized Debt Obligations
- Figuer 1.54. Risk Tolerance for Weakest 10 Percent of U.S. Public Pension Funds
- Figure 1.55. Net Interest Margins and Investments in Risky Assets by U.S. Insurance Companies
- Figure 1.56. U.S. Treasury Sell-Off Episodes
- Figure 1.57. U.S. High-Yield Corporate Spread and Liquidity and Volatility
- Figure 1.58. Holdings of U.S. Corporate Bonds, by Issuer Type
- Figure 1.59. Net Capital Flows to Emerging Markets
- Figure 1.6. Property Price Valuations
- Figure 1.60. Selected Emerging Market Bond, Equity, and Loan Issuance
- Figure 1.61. Nonresident Holdings of Domestic Sovereign Debt
- Figure 1.62. Emerging Market Nonfincial Corporate Issuance
- Figure 1.63. Emerging Market Nonfinancial Corporate Leverage, 2007 and 2012
- Figure 1.64. Foreign-Exchange-Denominated Debt of Nonfinancial Corporations in Emerging Markets
- Figure 1.65. Emerging Market Corporate Issuance, by Type of Issuer
- Figure 1.66. Corporate Leverage in Asia, excluding Japan
- Figure 1.67. Interest Coverage Ratio for Emerging Market Firms
- Figure 1.68. Hard Currency and Local Currency Sovereign Bond Issuance
- Figure 1.69. EMBI Global Spread Tightening
- Figure 1.7. Hard-Currency Debt Valuations in Emerging Market Economies
- Figure 1.70. Local Yield Tightening in Emerging Market Economies
- figure1_71
- Figure 1.72. Impact of Shocks on Local Emerging Market Yields
- figure1_73
- Figure 1.74. Consumer Price Index-Adjusted Residential Property Prices, 2006-12
- Figure 1.75. Gross Nonperforming Loan Ratios, 2010-12
- Figure1 76
- Figure 1.77. China: Growth Rate of Credit, by Type
- Figure 1.78. European Investment-Grade Corporate Fundamentals
- Figure 1.79. Developments in Publicly Listed European Companies
- Figure 1.8. U.S., Sovereign Debt Valuations
- Figure 1.9. Target2 Balances and Sovereign Bond Yields
- Table 1.1 Selected Euro Area Countries: Vulnerability Indicators in the Corporate Sector
- Table 1.10. Corporate Sectoral Breakdown within the Sample
- Table 1.2. Deleveraging Progress, 2011:Q3-2012:Q3
- Table 1.3. U.S. Nonfinancial Corporate Bonds: Yields, Spreads, and Valuations
- Table 1.4. Scenario for Ten-Year Treasury Bond Market Corrections
- Table 1.5. Distribution of Bank Lending and Nonperforming Loans
- Table 1.8 Nonfinancial Corporate Debt and Leverage
- Table 1.9. Nonfinancial Corporate Database Coverage
- Figure 2.1. Credit Default Swaps
- Figure 2.11. SCDS: Net Notional Amounts Outstanding, Selected EU Countries
- Figure 2.2. Non-Dealer Buyers and Sellers of CDS Protection: Net Positions by Counterparty
- Figure2 8
- Figure 3.1. Changes in Central Bank Balance Sheets, 2006-2012
- Figure 3.3. Central Bank Intervention in Real Estate Securities Markets
- figure3_4
- Figure 3.7. Bank Holdings of Government Debt in Selected Economies
- Figure 1. Major Net Exporters and Importers of Capital in 2012
- Dataset overview: Figure 6. United States: Corporate Bond Market
- Figure 7. Euro Area: Corporate Bond Market
- Figure 8. United States: Commercial Paper Market
- Table 1. Selected Indicators on the Size of the Capital Markets, 2011
- Table 10. Emerging Markets: Mutual Funds
- Table 2. MSCI Equity Market Indices
- Table 3. Emerging Markets Bond Index: EMBI Global Sovereign Yield Spreads
- Table 4. Emerging Market Private External Financing: Total Bonds, Equities, and Loans
- Table 5. Emerging Market Private External Financing: Bonds
- Table 6. Emerging Market Private External Financing: Equities
- Table 7. Emerging Market Private External Financing: Loans
- Table 8. Equity Valuation Measures: Dividend-Yield Ratios
- Table 9. Equity Valuation Measures: Price/Earnings Ratios
- تقرير الاستقرار المالي العالمي -- ملخص واف؛ ابريل 2013
- 2013 年4 月期《全球金融稳定报告》-- 概要, 2013年4月17日
- Rapport sur la stabilité financière dans le monde -- Résumé analytique; Avril 2013
- 国際金融安定性報告書
- 42462_Ch 01.indd
- _c2pdf
- Chapter 3: Do Central Bank Policies Since the Crisis Carry Risks to Financial Stability?
- _exesumpdf
- Old Risks, New Challenges -- Preface: IMF Global Financial Stability Report
- Statistical appendix -- Global Financial Stability Report
- Old Risks, New Challenges -- IMF Global Financial Stability Report
- АНАЛИТИЧЕСКОЕ РЕЗЮМЕ
- Resumen ejecutivo -- Informe sobre la estabilidad financiera mundial -- Abril de 2013
References
- Sign up to receive free e-mail notices when new series and/or country items are posted on the IMF website.
- Modify your profile
- Policymakers Should Address Old Financial Risks, Meet New Challenges
- Credit Default Swaps on Government Debt Are Effective Gauge
- Extended Period of Low Interest Rates Can Rekindle Financial Risks
- How To Make A Graceful Exit: The Potential Perils of Ending Extraordinary Central Bank Policies
- Press Conference -- Transcript
- Ordering Information
- Disclaimer
- Financial Soundness Indicators