Global Financial Stability Report: Market Developments and Issues, September 2005 -- Contents
Global Financial Stability Report, September 15, 2005
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Bibliographic details
- Published: September 15, 2005
- Series: Global Financial Stability Report
Scope and information base
- The report "draws, in part, on a series of informal discussions with commercial and investment banks, securities firms, asset management companies, hedge funds, insurance companies, pension funds, stock and futures exchanges, and credit rating agencies, as well as regulatory authorities and academic researchers in many major financial centers and countries."
- "The report reflects information available up to July 22, 2005."
Preface and chapter structure
- Preface (175KB pdf file)
- Chapter I. Overview (200KB pdf file)
- Balance of Risks, Current Assessment
- The Search for Yield
- Potential Triggers for Market Corrections
- Trends That Could Enhance Financial Stability
- Policy Measures to Mitigate Risks
- Global Asset Allocation Framework
- Corporate Bond Markets in Emerging Market Countries
- Chapter II. Global Financial Market Developments (858KB pdf file)
- Low Bond Yields, High Equity Earnings Yields, and the Recovering Dollar
- The Search for Yield in Credit and Mortgage Markets—The Credit Cycle
- Increased Resilience of Emerging Markets
- Emerging Market Financing
- Balance Sheet Developments in Major Mature Economies
- Market and Credit Risk Indicators for the Mature Market Financial System
- Banking Sector Developments in Emerging Market Countries
- References
- Chapter III. Aspects of Global Asset Allocation (357KB pdf file)
- Module 1. Global Asset Allocation
- Module 2. Investment Fund Industry
- Module 3. Home Bias
- Module 4. Financial Stability Considerations Related to Trends in Accounting Standards
- Chapter IV. Development of Corporate Bond Markets in Emerging Market Countries (370KB pdf file)
- Recent Trends in Local Corporate Bond Markets
- Demand and Supply Factors Driving Corporate Bond Markets
- Market Structure and Obstacles to Growth of Corporate Bond Markets
- Challenges and Policy Issues
- Glossary (206KB pdf file)
- Annex: Summing Up by the Chairman (204KB pdf file)
- Statistical Appendix (1,305KB pdf file)
Key thematic findings and risks (as organized in contents)
- Balance of Risks, Current Assessment — assessment of prevailing risk balance for global financial stability.
- The Search for Yield — documented as a central theme influencing market behavior.
- Potential Triggers for Market Corrections — enumerates trigger categories for market corrections.
- Trends That Could Enhance Financial Stability — identifies positive structural trends.
- Policy Measures to Mitigate Risks — enumerates policy responses aimed at risk mitigation.
- Increased Resilience of Emerging Markets — noted as a theme in Chapter II.
- The Search for Yield in Credit and Mortgage Markets—The Credit Cycle — links search-for-yield behavior to credit and mortgage market dynamics.
- Corporate Bond Markets in Emerging Market Countries — treated in both Chapter I and Chapter IV, addressing recent trends, demand/supply drivers, market structure, obstacles, challenges, and policy issues.
Boxes (chapter-specific analytical points)
- Chapter 2 boxes include:
- 2.1 U.S. Auto Companies and Losses in the Credit Derivatives Market
- 2.2 Emerging Market Borrowers Intensify Liability Management Operations
- 2.3 Foreign Investment in Local Currency Instruments: A Cyclical or Fundamental Phenomenon?
- 2.4 Collective Action Clauses
- 2.5 Foreign Direct Investment to Emerging Market Countries: An Asian Perspective
- 2.6 Impact of Correlation Assumptions on Multiple Default Probabilities and CDO Tranche-Specific Default Risk
- Chapter 3 box:
- 3.1 A Sample Calculation of Potential Gains from International Diversification
- Chapter 4 boxes:
- 4.1 Corporate Bond Market in Russia
- 4.2 High-Yield Bonds
- 4.3 Islamic Bonds in Malaysia
- 4.4 Demand and Supply Factors Driving Corporate Bond Markets in China and India
Statistical tables and coverage (selected headings)
- Global Financial Balances by Sector
- U.S. Sector Financial Flows
- Emerging Market External Financing
- Emerging Market Countries: Selected Bank Financial Soundness Indicators
- Countries with High Credit Growth in 2004 by Region: Financial Soundness Indicators
- Assets Under Management by Institutional Investors
- Major Industrial Countries: Assets of Institutional Investors (3.2)
- Assets Under Management of Mutual Funds (3.3)
- Assets of Exchange-Traded Funds (3.4)
- United States: Growth and Net Assets of Life-Cycle Funds (3.5)
- European Mutual Fund Distribution in 2002 (3.6)
- United States: Mutual Fund Distribution (3.7)
- Share of Foreign Bonds from Inside and Outside Euro Area (3.8)
- Outstanding Domestic Debt Securities, Stock Market Capitalization, and Bank Credit, 2004
- Corporate Issuers: Outstanding Domestic Debt Securities
- Securitization: Selected Emerging Markets
- Local Institutional Investor Base for Corporate Bonds
- Assets Under Management by Insurance Companies (4.5)
- Pension Fund Investment in Corporate Fixed-Income Instruments (4.6)
- Emerging Market Mutual Funds: Total Net Assets (4.7)
- Cost of Domestic and International Bond Issues (4.8)
- Annual Turnover Ratios of Listed Bonds and Equities on Exchanges, 2004 (4.9)
- Annual Bond Turnover, 2004 (4.10)
Figures (selected)
- U.S. Yields
- Inflation-Indexed Bond Yields
- U.S. Real Yields and Inflation Expectations
- U.S. Yield Curve Steepness and Real Short-Term Rates
- Yield Curve Steepness
- Global Equity Yields Versus Real Bond Yields
- Corporate Financial Balances (2.7)
- Path for Real U.S. 1-Year LIBOR Discounted in the Term Structure (2.8)
- International Reserves (2.9)
- Earnings Yield in Major Developed Markets (2.10)
- Earnings per Share, Actual Minus Forecast (2.11)
- Earnings Yield Minus 10-Year Bond Yield (2.12)
- Implied Volatilities (2.13)
- S&P 500 Price and Difference Between Implied and Actual Volatility (2.14)
- U.S. Current Account Balance (2.15)
- U.S. Dollar Performance (2.16)
- U.S. Dollar Index: Net Noncommercial Positions (2.17)
- Net Foreign Purchases of U.S. Assets by Type (2.18)
- Chinese Renminbi Nondeliverable Forwards (2.19)
- Corporate and Agency Bond Issuance (2.20)
- Corporate Spreads (2.21)
- Credit Default Swap Spreads (2.22)
- Standard & Poor’s Speculative-Grade Default Rates (2.23)
- High-Yield Debt and the Credit Cycle (2.24)
- Corporate Actions of Top 150 U.S. Corporations (2.25)
- Surveys of Bank Lending Standards (2.26)
- Global Merger Deal Value (2.27)
- Slope of the Corporate Credit Spread Curve (2.28)
- Foreign Net Purchases of U.S. Agency Securities (2.29)
- U.S. Home Mortgages and Financing Instruments (2.30)
- U.S. Mortgage Debt and Equity Extraction (2.31)
- Adjustable Rate Mortgages (2.32)
- EMBIG Sovereign Spreads (2.33)
- Emerging Market Credit Quality (2.34)
- Cumulative Net Flows to U.S.-Based Mutual Funds (2.35)
- Asset Class Risk-Return Performance (2.36)
- EMBI Global Performance, 2005 to Date (2.37)
- U.S. Corporate, EMBIG, and Auto Sector Spreads (2.38)
- Cumulative Gross Annual Issuance of Bonds, Loans, and Equity (2.39)
- Quarterly Net Issuance (2.40)
- Cumulative Gross Annual Issuance of Bonds (2.41)
- Emerging Market Bond Issuance by Currency (2.42)
- Equity Placements (2.43)
- Syndicated Loan Commitments (2.44)
- FDI Inflows into Emerging Markets (2.45)
- Japan: Capital-to-Asset Ratio of Corporate Sector (2.46)
- Japan: Corporate Debt and Cash Flow Relative to GDP (2.47)
- Japan: Business Conditions (2.48)
- Euro Area and United Kingdom: Ratio of Nonfinancial Corporate Debt to GDP (2.49)
- Selected Countries: Return on Equity (2.50)
- VaR With and Without Market Effects (VaR-Beta) for the Full Portfolio of Financial Institutions (2.51)
- VaR-Betas for LCFIs Versus Commercial Banks (2.52)
- Market Implied Correlation on CDX 5-Year Investment-Grade Tranches (2.53)
- VaR-Betas for Portfolios of Life Insurance Companies (2.54)
- Probability of More Than One Default Among the Portfolios of Financial Institutions (2.55)
- Spread Levels on 5-Year CDX Investment-Grade Index (2.56)
- Asset Allocation of Institutional Investors
- Global Asset Allocation of Institutional Investors by Country
- Equity and Bond Holdings of Pension Funds and Life Insurance Companies
- Holdings of Foreign Assets by Type of Institutional Investor
- Foreign Asset Acceptance Ratios for Portfolio Assets
- Foreign Asset Acceptance Ratios
- Size and Composition of Local Bond Markets Outstanding, 2004
- Local Corporate Bonds Outstanding
- Corporate Bond Market and Money Market Interest Rates in the Czech Republic
- Domestic Government Bond and Money Market Rates
- Pension Fund Assets Under Management and Corporate Bonds Outstanding
- G-7 Corporate Bond Issuance by S&P Rating
- Distribution by Size of the Corporate Bond Issues
Cross-cutting analytical topics emphasized
- Search for yield dynamics across credit, mortgage, and institutional investor behavior.
- Resilience and financing trends in emerging markets.
- Developments in corporate bond markets in emerging market countries, including demand and supply drivers and obstacles to growth.
- Interaction of low bond yields and high equity earnings yields with currency developments (the recovering dollar).
- Market and credit risk indicators for mature market financial systems and banking sector developments in emerging market countries.
- Financial stability considerations related to trends in accounting standards.
International Monetary Fund — Global Financial Stability Report: Market Developments and Issues, September 2005. The report reflects information available up to July 22, 2005.
Content in this bundle
- Global Financial Stability Report, September 2005 -- Annex: Summing Up by the Chairman
- Global Financial Stability Report, September 2005: Chapter 1: Overview
- Global Financial Stability Report, September 2005: Chapter 2: Global Financial Market Developments
- Chp3pdf
- Chapter Iv: — Development of Corporate Bond Markets in Emerging Market Countries
- Global Financial Stability Report, September 2005: Glossary
- Global Financial Stability Report, September 2005: Preface
- Global Financial Stability Report, September 2005: Statistical Appendix