Global Financial Stability Report
A Quarterly Report on Market Developments and Issues
March 2002
©2002 International Monetary Fund
Ordering Information
The Global Financial Stability Report provides quarterly assessments of global financial markets and addresses emerging market financing in a global context. |
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| Contents | |
| Foreward | |
| Preface | |
| Chapter I. | Overview (169KB pdf file) |
| Chapter II. |
Recent Developments in International Capital Markets (258KB pdf file) The Recovery Rally What Are Markets Anticipating About Recovery? Emerging Market Financing References |
| Chapter III. |
Stability Implications of Global Financial Market Conditions (271KB pdf file) Financial Market Implications of Financial Imbalances and a Subdued or Delayed Recovery How Effective Is the Market for Credit Risk Transfer Vehicles Functioning? References |
| Chapter IV. |
Early Warning Systems Models: The Next Steps Forward (320KB pdf file) Current EWS models at the IMF EWS: A Way Forward Conclusion References |
| Chapter V. |
Alternative Financial Instruments and Access to Capital Markets (320KB pdf file) Alternative Financial Instruments: What Are They and How Do They Work? Policy Implications Concluding Remarks |
| Boxes | |
| 2.1 | Anticipating Economic Turnarounds: The Record of the Stock Market |
| 2.2 | Argentina and the Asset Class |
| 3.1 | Financial Implications of Enron's Bankruptcy |
| 4.1 | The IMF's Core Early Warning Systems Models—A Primer |
| 4.2 | Alternative Measures of Contagion |
| 5.1 | Recent Bond Warrants |
| 5.2 | The Structure of Future-Flow Securitizations—Modalities and the Case of PEMEX |
| Tables | |
| 2.1 | Total Return Performances of Mature Equity Markets |
| 2.2 | U.S. Corporate Bond Total Returns |
| 2.3 | Emerging Market Financing |
| 2.4 | Performance of Emerging Bond Markets |
| 2.5 | Currency of Issue |
| 2.6 | Total Dollar Return Performance of Emerging Equity Markets |
| 3.1 | U.S. Financial Conditions During the 1990–91 and 2001 Recessions |
| 3.2 | Performance of Large European Banks |
| 3.3 | Performance of Major Japanese City Banks |
| 5.1 | Emerging Market Sovereign Bond and Loan Issues by Type |
| 5.2 | Market Conditions and Alternative Financial Instruments |
| Figures | |
| 2.1 | Global Risk Aversion |
| 2.2 | Global Equity Markets |
| 2.3 | Net Purchases by Foreigners from U.S. Residents |
| 2.4 | U.S. Treasury Yield Differentials |
| 2.5 | S&P 500 Earnings Growth Forecasts for 2002 |
| 2.6 | U.S. Treasury Credit Curves |
| 2.7 | U.S. Domestic Bond Issuance |
| 2.8 | The U.S. Dollar |
| 2.9 | Twelve-Month Forward Price-Earnings Ratio for the S&P 500 |
| 2.10 | Twelve-Month Forward Price-Earnings Ratio of the Group of Three |
| 2.11 | Expected Policy Rates: Federal Funds Futures |
| 2.12 | Expected Changes in Forward Rates in the Group of Seven |
| 2.13 | Emerging Market Spreads |
| 2.14 | Average Cross-Correlation of Emerging Debt Markets |
| 2.15 | Emerging Market Spread Correlations with Argentina |
| 2.16 | Monthly Bond Issuance |
| 2.17 | Loan Issuance |
| 2.18 | Cumulative Gross Annual Issuance of Hard Currency Loans |
| 2.19 | Loan-Weighted Interest Margin |
| 2.20 | Net Foreign Purchases and Monthly Returns on Emerging Equity Markets |
| 2.21 | Capital Flows to Emerging Economies |
| 3.1 | United States: Financial Conditions, 1987–2001 |
| 3.2 | Probability Density Functions for Group of Three Exchange Rates Implied by Option Prices |
| 3.3 | Household and Corporate Sector Balance Sheets in the Euro Area and Japan |
| 3.4 | Japan Premium |
| 3.5 | United States: Household and Corporate Sector Balance Sheets and Debt Services Ratios |
| 3.6 | Performance of Bank Stock Indices Implied Earnings Growth Rates |
| 3.7 | Implied Earnings Growth Rates |
| 3.8 | Global Credit Derivatives Market Size and Structure |
| 3.9 | Key Characteristics of Credit Derivatives Markets |
| 3.10 | Spread Between Credit Derivatives Premium and Underlying Bond Spread |
| 4.1 | The IMF Early Warning System Models: Developing Country Studies Division (DCSD) and Kaminsky, Lizondo, and Reinhart (KLR) Probabilities of Crisis |
| 4.2 | Forward Exchange Rates for Argentine Peso |
| 4.3 | Spot Price and Implied Probability Density Function for the Brazilian Real |
| 4.4 | Argentina and Turkey: External Liquidity and Debt Service Ratios |
| 4.5 | Slope of Default Swap Curve |
| 4.6 | Korea: Financial Institutions Index (1991–2001) |