- Paul Hilbers, Alfredo Leone, Mahinder Gill, and Owen Evens
- Published Date:
- April 2000
© 2000 International Monetary Fund
Production: IMF Graphics Section
Typesetting: Alicia Etchebarne-Bourdin
Library of Congress Cataloging-in-Publication Data
Macroprudential indicators of financial system soundness/by a staff team led
by Owen Evans…[et al.].
p. cm.—(Occasional paper; no. 192)
Includes bibliographical references.
1. Financial institutions—Auditing. 2. Bank examination. I. Evans, Owen, date. II. International Monetary Fund. III. Occasional paper (International Monetary Fund); no. 192.
HF5686.F46 M333 2000
(US$15.00 to full-time faculty members and students at universities and colleges)
Please send orders to:
International Monetary Fund, Publication Services
700 19th Street, N.W., Washington, D.C. 20431, U.S.A.
Tel.: (202) 623-7430 Telefax: (202) 623-7201
The following symbols have been used throughout this paper:
… 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, 1998–99 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 crop or fiscal (financial) year.
“Billion” means a thousand million.
Minor discrepancies between constituent figures and totals are due to rounding.
The term “country,” as used in this paper, does not in all cases refer to a territorial entity that is a state as understood by international law and practice; the term also covers some territorial entities that are not states, but for which statistical data are maintained and provided internationally on a separate and independent basis.
The international financial turmoil of the second half of the 1990s has provoked much reflection and analysis within the international community on ways to strengthen the international financial system. Together with other international organizations, national authorities, and the private sector, the IMF has been working on a series of initiatives intended to contribute to a more stable and efficient financial system, and toward better preparedness to address future systemic problems. Among these initiatives are the ongoing efforts to develop and use macroprudential indicators—defined broadly as indicators of the health and stability of financial systems. This paper aims to lake stock of current knowledge in the area of macroprudential indicators—notably, analytical, identification, and measurement issues—with a view to providing reference material for national authorities, the private sector, and other users of macroprudential indicators. The paper also looks at issues related to the use of macroprudential indicators in IMF surveillance, and possible ways to encourage their dissemination through the IMF Special Data Dissemination Standard or in other ways.
The material in this paper was originally prepared for discussion at a September 1999 consultative meeting at the IMF with high-level experts from central banks, supervisory agencies, international financial institutions, academia, and the private sector. A revised paper reflecting the results of the consultative meeting was used in discussions in the IMF’s Executive Board in January 2000. The final paper has further benefited from comments by Executive Directors and colleagues in the IMF.
The paper was prepared under our direction by a joint staff team led by Owen Evans, Alfredo M. Leone, Mahinder Gill, and Paul Hilbers, and consisting of Winfrid Blaschke, Russell Krueger, Marina Moretti, Jun Nagayasu, Mark O’Brien, Joy ten Berge, and DeLisle Worrell. We would like to pay a special tribute to the late Owen Evans, who together with V. Sundararajan, was a major initiator of this project. We would like to thank Helen Chin of the External Relations Department for editing and coordinating production of this Occasional Paper. The views expressed in this paper are those of IMF staff and do not necessarily reflect the views of national authorities or of IMF Executive Directors.
Carol S. Carson
Monetary and Exchange Affairs
List of AbbreviationsBCBS
Basel Committee on Banking Supervision, BISBIS
Bank for International SettlementsBSC
Banking Supervision Committee, ECBCGFS
Committee on the Global Financial System, BISCPSS
Committee on Payment and Settlement Systems, BISDSBB
Dissemination Standards Bulletin BoardECB
European Central BankEMU
Economic and Monetary Union, EUESA95
European System of Accounts, 1995ESCB
European System of Central BanksEU
Federal Deposit Insurance CorporationFIMS
Financial Institutions Monitoring SystemFSA
Financial Sector AssessmentFSAP
Financial Sector Assessment ProgramFSF
Financial Stability ForumFSSA
Financial System Stability AssessmentG-7
Group of SevenG-10
Group of TenGDDS
General Data Dissemination SystemGMS
Growth Management SystemIAIS
International Association of Insurance SupervisorsIOSCO
International Organization of Securities CommissionsMAE
Monetary and Exchange Affairs Department, IMFMPI
Monetary Union Financial AccountsOCC
Office of the Comptroller of the CurrencyOECD
Organization for Economic Cooperation and DevelopmentSDDS
Special Data Dissemination StandardSNA
System of National AccountsSNA93
System of National Accounts, 1993STA
Statistics Department, IMFUBSS
Uniform Bank Surveillance SystemVaR
Value at Risk