Global Financial Stability Report

©2009 International Monetary Fund
Ordering Information

Disclaimer                  Copyright and Usage

View the Full Text of the GFSR (use the free Adobe Acrobat Reader).

Contents

Preface (457KB pdf file)

Joint Foreword to World Economic Outlook and Global Financial Stability Report

Executive Summary (752KB pdf file)

Chapter I. Stabilizing the Global Financial System and Mitigating Spillover Risks

Full Text    |   Boxes   |    Figures   |   Tables

A. Global Financial Stability Map

B. Global Deleveraging and its Consequences

C. The Crisis has Engulfed Emerging Markets

D. The Deteriorating Outlook for Household and Corporate Defaults in Mature Markets and Implications for the Financial System

E. Stability Risks and the Effectiveness of the Policy Response

F. Costs of Official Support, Potential Spillovers, and Policy Risks

Annex 1.1. Global Financial Stability Map: Construction and Methodology

Annex 1.2. Predicting Private "Other Investment" Flows and Credit Growth in Emerging Markets

Annex 1.3. Spillovers Between Foreign Banks and Emerging Market Sovereigns

Annex 1.4. Debt Restructuring in Systemic Crises

Annex 1.5. Methodology for Estimating Financial Writedowns

References

Chapter II. Assessing the Systemic Implications of Financial Linkages

Full Text   |   Boxes   |    Figures   |   Press Points

Four Methods of Assessing Systemic Linkages

How Regulators Assess Systemic Linkages

Policy Reflections

Annex 2.1. Default Intensity Model Estimation

References

Chapter III. Detecting Systemic Risk

Full Text   |   Boxes   |   Figures   |   Press Points

What Constitutes "Systemic" Risk?

"Fundamental" Characteristics of Intervened and Nonintervened Financial Institutions

Market Perceptions of Risk of Financial Institutions

Identifying Systemic Risks Through Regime Shifts

Role of Global Market Conditions During Episodes of Stress

Policy Implications

Conclusions

Annex 3.1. Financial Soundness Indicators

Annex 3.2. Groups of Selected Financial Institutions

Annex 3.3. List of Intervened Financial Institutions

References

Glossary (644KB pdf file)

Annex: Summing Up by the Acting Chair

Statistical Appendix(1259KB pdf file)

Key Financial Centers:      Figures    |   Tables
Emerging Markets:           Figures    |   Tables
Financial Soundness Indicators:           Tables

Boxes

		1.1	Near-Term Financial Stability Challenges and Policy Priorities
	Data Data	1.2	Cross-Border Exposures and Financial Interlinkages within Europe
		1.3	Effects of the Global Financial Crisis on Trade Finance: The Case of Sub-Saharan Africa
	Data Data	1.4	Enhanced IMF Lending Capabilities and Implications for Emerging Markets
	Data	1.5	Modeling Corporate Bond Spreads: A Capital Flows Framework
	Data	1.6	Recent Unconventional Measures of Selected Major Central Banks
		1.7	Forecasts for Charge-Offs on U.S. Bank Loans
		2.1	Network Simulations of Credit and Liquidity Shocks
		2.2	Quantile Analysis
		2.3	Default Intensity Model Specification
		2.4	Basics of Over-the-Counter Counterparty Credit Risk Mitigation
		2.5	A Central Counterparty as a Mitigant to Counterparty Risk in the Credit Default Swap Markets
Chart	Data	3.1	Modeling Risk-Adjusted Balance Sheets: The Contingent Claims Approach
Chart Chart	Data Data	3.2	Option-iPoD Measures of Risk Across Financial Institutions
		3.3	Higher Moments and Multivariate Dependence of Implied Volatilities from Equity Options as Measures of Systemic Risk
		3.4	The Consistent Information Multivariate Density Optimizing Approach
Chart	Data	3.5	Spillovers to Emerging Markets: A Multivariate GARCH Analysis
Chart Chart	Data Data	3.6	The Transformation of Bank Risk into Sovereign Risk—The Tale of Credit Default Swaps

Tables

Chart	Data	1.1	Macro and Financial Indicators in Selected Emerging Market Countries
Chart	Data	1.2	Potential Writedowns and Capital Needs for Emerging Market Banks by Region
Chart	Data	1.3	Estimates of Financial Sector Potential Writedowns (2007-10) by Geographic Origin of Assets as of April 2009
Chart	Data	1.4	Bank Equity Requirement Analysis
Chart		1.5	Policy Measures and Effectiveness
Chart		1.6	Tentative Easing in Credit Conditions
Chart	Data	1.7	Bank Wholesale Financing and Public Funding Support
Chart	Data	1.8	Public Debt and Stabilization Costs
Chart	Data	1.9	Mature Market Sovereign Credit Default Swap Spreads and Debt Outstanding
Chart	Data	1.10	Announced Sovereign Guaranteed Bank Debt
Chart		1.11	Changes in Risks and Conditions Since the October 2008 Global Financial Stability Report
Chart	Data	1.12	Distress Dependence Matrices: Sovereigns and Banks
Chart	Data	1.13	Estimated Bank Portfolio Composition by Type of Asset
Chart	Data	1.14	Estimated Bank Portfolio Composition by Origin of Assets
Chart	Data	1.15	Estimated Distribution of Bank Writedowns by Bank Domicile and Cumulative Loss Rates
		2.1	Taxonomy of Financial Linkages Models
		2.2	Simulation 1 Results (Credit Channel)
		2.3	Post-Simulation 1 Capital Losses
		2.4	Simulation 2 Results (Credit and Funding Channel)
		2.5	Post-Simulation 2 Capital Losses
		2.6	Conditional Co-Risk Estimates, March 2008
		2.7	Conditional Co-Risk Estimates, September 2008
		2.8	Distress Dependence Matrix
		2.9	Summary of Various Methodologies: Limitations and Policy Implications
		3.1	Selected Indicators on Fundamental Characteristics in Financial Institutions
		3.2	Taxonomy of Credit Risk Models
		3.3	Correlations Among 45 Financial Institutions During Different Stress Periods
		3.4	Cluster Analysis
		3.5	Summary of Various Methodologies: Limitations and Policy Implications

Figures

	Data	1.1	Global Financial Stability Map
	Data	1.2	Heat Map: Developments in Systemic Asset Classes
	Data	1.3	Ratio of Debt to GDP Among Selected Advanced Economies
	Data	1.4	Bank Credit to the Private Sector
	Data	1.5	Private Sector Credit Growth
	Data	1.6	Bank for International Settlements Reporting Banks: Cross-Border Liabilities, Exchange-Rate-Adjusted Changes
	Data	1.7	Bank for International Settlements Reporting Countries: Cross-Border Assets as a Proportion of Total Assets
	Data	1.8	Aggregate Emerging Markets Bond Index Global Spread
	Data	1.9	Net Foreign Equity Investment in Emerging Economies
	Data	1.10	Emerging Market Hedge Funds: Estimated Assets and Net Asset Flows
	Data	1.11	Heat Map: Developments in Emerging Market Systemic Asset Classes
	Data	1.12	Emerging Europe: Real Credit Growth to the Private Sector and Output
	Data	1.13	Emerging Market Performance of Credit Default Swap Spreads and Equity Prices
	Data	1.14	Cross-Currency Basis Swap Spreads
	Data	1.15	Emerging Market Real Credit Growth
	Data	1.16	External Debt Refinancing Needs
	Data	1.17	Emerging Market Corporate Bond Spreads
	Data	1.18	Aggregate Emerging Market Bond Index Global Spread
	Data	1.19	Distress Dependence between Emerging Market Sovereigns and Advanced Country Banks
	Data	1.20	U.S. Loan Charge-Off Rates: Baseline
	Data	1.21	Delinquency Rate of U.S. Residential Mortgage Loans
	Data	1.22	Spreads on Commercial Mortgage-Backed Securities
	Data	1.23	Spreads on Consumer Credit Asset-Backed Securities
	Data	1.24	Global Corporate Default Rates
	Data	1.25	Average Recovery Rates on Defaulted U.S. Bonds
	Data	1.26	Corporate Credit Default Swap Spreads
	Data	1.27	Estimates of Economic Growth and Financial Sector Writedowns
	Data	1.28	U.S. and European Bank and Insurance Company Market Capitalization, Writedowns, and Capital Infusions
	Data	1.29	U.S. and European (including U.K.) Bank Earnings and Writedowns
	Data	1.30	Commercial Bank Loan Charge-Offs
	Data	1.31	European Securitization Gross Issuance
	Data	1.32	Refinancing Gap of Global Banks
	Data	1.33	Pension Funds of Large U.S. and European Companies: Estimated Funding Levels
	Data	1.34	Insurance Sector Credit Default Swaps Spreads
	Data	1.35	Large Economy Credit Default Swap Spreads
	Data	1.36	Benchmark Five-Year Government Bonds
	Data	1.37	Swap Spreads of Government-Guaranteed Bonds
	Data Data Data Data Data	1.38	Global Financial Stability Map: Monetary and Financial Conditions
	Data Data Data Data	1.39	Global Financial Stability Map: Risk Appetite
	Data Data Data Data Data Data	1.40	Global Financial Stability Map: Macroeconomic Risks
	Data Data Data Data Data Data	1.41	Global Financial Stability Map: Emerging Market Risks
	Data Data Data Data Data Data	1.42	Global Financial Stability Map: Credit Risks
	Data Data Data Data Data Data	1.43	Global Financial Stability Map: Market and Liquidity Risks
	Data	1.44	Impulse Responses
	Data	1.45	Net Private Other Investment Flows to Emerging Markets
	Data	1.46	Emerging Market Real Credit Growth
	Data	1.47	Emerging Market GDP Growth
	Data	1.48	Default Probabilities Implied by Credit Default Swap Pricing
	Data	1.49	Distress Dependence
		2.1	Network Analysis: A Diagrammatic Representation of Systemic Interbank Exposures
Chart	Data	2.2	Network Analysis: Number of Induced Failures
Chart	Data	2.3	Network Analysis: Country-by-Country Vulnerability Level
		2.4	Network Analysis: Contagion Path Triggered by the U.K. Failure
Chart	Data	2.5	AIG and Lehman Brothers Default Risk Codependence
		2.6	A Diagrammatic Depiction of Co-Risk Feedbacks
		2.7	U.S. and European Banks: Tail-Risk Dependence Devised from Equity Option Implied Volatility, 2006-08
		2.8	Legend of Trivariate Dependence Simplex
		2.9	Annual Number of Corporate and Banking Defaults
		2.10	Actual and Fitted Economy Default Rates
		2.11	Default Rate Probability and Number of Defaults
		2.12	Quarterly One-Year-Ahead Forecast Value-at-Risk at 95 Percent Level
		2.13	Capital Adequacy Ratios (CAR) After Hypothetical Credit Shocks
		2.14	Basic Structure of the Systemic Risk Monitor Model
		2.15	RAMSI Framework
Chart	Data	3.1	Capital-to-Assets Ratio
Chart	Data	3.2	Ratio of Short-Term Debt to Total Debt
Chart	Data	3.3	Return on Assets
		3.4	Dendrogram
Chart	Data	3.5	U.S. and European Banks: Joint Tail Risk of Implied Volatilities
Chart	Data	3.6	Higher Moments and Multivariate Dependence of Implied Equity Volatility
Chart	Data	3.7	Joint Probability of Distress (JPoD) and Banking Stability Index (BSI): Core 2 Group
Chart	Data	3.8	Joint Probability of Distress (JPoD) and Banking Stability Index (BSI): By Geographic Region
Chart	Data	3.9	Daily Percentage Change: Joint and Average Probability of Distress, Core 2 Group
Chart	Data	3.10	Probability of Cascade Effects
Chart	Data	3.11	Markov-Regime Switching ARCH Model: Joint Probability of Distress and Banking Stability Index
Chart	Data	3.12	Euro-Dollar Forex Swap
Chart	Data	3.13	Markov-Switching ARCH Model of VIX
Chart	Data	3.14	Markov-Switching ARCH Model of TED Spread
Chart	Data	3.15	Markov-Switching ARCH Model of VIX, TED Spread, and Core 2 Banking Stability Index

Statistical Appendix

Key Financial Centers

Figures

Tables

Data	1.	Global Capital Flows: Inflows and Outflows
Data	2.	Global Capital Flows: Amounts Outstanding and Net Issues of International Debt Securities by Currency of Issue and Signed International Syndicated Credit Facilities by Nationality of Borrower
Data	3.	Selected Indicators on the Size of the Capital Markets, 2007
Data	4.	Global Over-the-Counter Derivatives Markets: Notional Amounts and Gross Market Values of Outstanding Contracts
Data	5.	Global Over-the-Counter Derivatives Markets: Notional Amounts and Gross Market Values of Outstanding Contracts by Counterparty, Remaining Maturity, and Currency
Data	6.	Exchange-Traded Derivative Financial Instruments: Notional Principal Amounts Outstanding and Annual Turnover
Data	7.	United States: Sectoral Balance Sheets
Data	8.	Japan: Sectoral Balance Sheets
Data	9.	Europe: Sectoral Balance Sheets

Emerging Markets

Figures

Chart	Data	15.	Emerging Market Volatility Measures
Chart	Data	16.	Emerging Market Debt Cross-Correlation Measures

Tables

Financial Soundness Indicators

Tables

Data	10.	Equity Market Indices
Data	11.	Foreign Exchange Rates
Data	12.	Emerging Market Bond Index: EMBI Global Total Returns Index
Data	13.	Emerging Market Bond Index: EMBI Global Yield Spreads
Data	14.	Emerging Market External Financing: Total Bonds, Equities, and Loans
Data	15.	Emerging Market External Financing: Bond Issuance
Data	16.	Emerging Market External Financing: Equity Issuance
Data	17.	Emerging Market External Financing: Loan Syndication
Data	18.	Equity Valuation Measures: Dividend-Yield Ratios
Data	19.	Equity Valuation Measures: Price-to-Book Ratios
Data	20.	Equity Valuation Measures: Price/Earnings Ratios
Data	21.	Emerging Markets: Mutual Fund Flows

Data	22.	Bank Regulatory Capital to Risk-Weighted Assets
Data	23.	Bank Capital to Assets
Data	24.	Bank Nonperforming Loans to Total Loans
Data	25.	Bank Provisions to Nonperforming Loans
Data	26.	Bank Return on Assets
Data	27.	Bank Return on Equity

The following symbols have been used throughout this volume: . . . 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 or months (for example, 1997-99 or January-June) to indicate the years or months covered, including the beginning and ending years or months; / between years (for example, 1998/99) 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 1/4 of 1 percentage point). "n.a." means not applicable. Minor discrepancies between constituent figures and totals are due to rounding. As used in this volume 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 but for which statistical data are maintained on a separate and independent basis.

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.