Statistical Appendix
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International Monetary Fund. Monetary and Capital Markets Department
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English
Print Publication Date:
26 Mar 2003
Keywords:
GFSR; market; investor; asset; securities; bond market; short-term debt; bond Index; government bond; commercial paper; return on equity; Emerging and frontier financial markets; Stocks; Stock markets; Loans; Securities markets; Middle East; Global; Europe; Asia and Pacific
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Abstract

This issue of the Global Financial Stability Report introduces a statistical appendix that presents data on financial developments in key financial centers and emerging markets. It is designed to complement the analysis in the text by providing additional data that describe key aspects of financial market developments. These data are derived from a number of sources external to the IMF, including banks, commercial data providers, and official sources, and are presented for information purposes only; the IMF does not guarantee the accuracy of the data from external sources.

This issue of the Global Financial Stability Report introduces a statistical appendix that presents data on financial developments in key financial centers and emerging markets. It is designed to complement the analysis in the text by providing additional data that describe key aspects of financial market developments. These data are derived from a number of sources external to the IMF, including banks, commercial data providers, and official sources, and are presented for information purposes only; the IMF does not guarantee the accuracy of the data from external sources.

Presenting financial market data in one location and in a fixed set of tables and charts, in this and future issues of the Global Financial Stability Report, is intended to give the reader an overview of developments in global financial markets. The statistical appendix reflects information available up to February 19, 2003, unless otherwise specified.

Mirroring the structure of the chapters of the report, the appendix presents data separately for key financial centers and emerging market countries. Specifically, it is organized into three sections:

  • Figures 1–14 and Tables 1–9 contain information on market developments in key financial centers. This includes data on global capital flows, and on markets for foreign exchange, bonds, and equities, and derivatives as well as sectoral balance sheet data for the United States, Japan, and Europe.

  • Figures 15 and 16 and Tables 10–21 present information on financial developments in emerging markets, including data on equity, foreign exchange, and bond markets, as well as data on emerging market financial flows.

  • Tables 22–25 report key financial soundness indicators for selected countries, including bank profitability, asset quality, and capital adequacy.

List of Tables and Figures

Figure 1.
Figure 1.

Global Capital Flows: Sources and Uses of Global Capital in 2001

Source: International Monetary Fund, World Economic Outlook database.1As measured by countries' current (capital) account surplus (deficit).2Other countries include all countries with shares of total surplus less than 2.4 percent.3As measured by countries' current (capital) account deficit (surplus).4Other countries include all countries with shares of total deficit less than 1.6 percent.
Figure 2.
Figure 2.

Exchange Rates: Selected Major Industrial Countries

Sources: Bloomberg L.P.; and the IMF Competitive Indicators System.Note: In each panel, the effective and bilateral exchange rates are scaled so that an upward movement implies an appreciation of the respective currency.1Local currency units per U.S. dollar except for the euro area and the United Kingdom, for which data are shown as U.S. dollars per local currency.21995 = 100; constructed using 1989–91 trade weights.
Figure 3.
Figure 3.

United States: Yields on Corporate and Treasury Bonds

(Weekly data)

Sources: Bloomberg L.P.; and Merrill Lynch.
Figure 4.
Figure 4.

Selected Spreads

(In basis points)

Sources: Bloomberg L.P.; and Merrill Lynch.1Spreads over 10-year U.S. treasury bond; weekly data.2Spread between yields on three-month U.S. treasury repo and on three-month U.S. treasury bill.3Spread between yields on 90-day investment-grade commercial paper and on three-month U.S. treasury bill.4Spread between three-month U.S. dollar LIBOR and yield on three-month treasury bill.5Spread over 10-year government bond.
Figure 5.
Figure 5.

Nonfinancial Corporate Credit Spreads

(In basis points)

Source: Merrill Lynch.
Figure 6.
Figure 6.

Equity Markets: Price Indexes

(January 1, 1990 = 100; weekly data)

Source: Datastream.
Figure 7.
Figure 7.

Implied and Historical Volatility in Equity Markets

Sources: Bloomberg L.P.; and IMF staff estimates.Note: Implied volatility is a measure of the equity price variability implied by the market prices of call options on equity futures. Volatilities are expressed in percent rate of change.1VIX is CBOE's Volatility index. This index is calculated by taking a weighted average of implied volatility for the eight S&P 100 calls and puts.
Figure 8.
Figure 8.

Historical Volatility of Government Bond Yields for Selected Countries1

Source: Bloomberg L.P.1Volatility calculated as a rolling 100-day standard deviation of annualized yield on 10-year government bonds.
Figure 9.
Figure 9.

Twelve-Month Forward Price/Earnings Ratios

Source: I/B/E/S.
Figure 10.
Figure 10.

Flows into U.S.-Based Equity Funds

Sources: AMG Sample Data; and Investment Company Institute.1ln billions of U.S. dollars.
Figure 11.
Figure 11.

United States: Corporate Bond Market

Sources: Board of Governors of the Federal Reserve System; and Bloomberg L.P.1Spreads against yields on 10-year U.S. government bonds.
Figure 12.
Figure 12.

Europe: Corporate Bond Market1

Sources: Bondware; and Datastream.1Nonfinancial corporate bonds.2Spread between yields on a Merrill Lynch High-Yield European issuers bond and a 10-year German benchmark bond.
Figure 13.
Figure 13.

United States: Commercial Paper Market1

Source: Board of Governors of the Federal Reserve System.1Nonfinancial commercial paper.2Difference between 30-day A2/P2 and AA commercial paper.
Figure 14.
Figure 14.

United States: Asset-Backed Securities

Sources: Merrill Lynch; Datastream; and the Bond Market Association.1Spread between yields on AAA asset-backed securities Merrill Lynch index and 10-year government bond.2Data for 2002 refer to 2002:Q3.
Table 1

Global Capital Flows: Inflows and Outflows1

(In billions of U.S. dollars)

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Sources: International Monetary Fund, World Economic Outlook database; and International Financial Statistics.

The total net capital flows are the sum of direct investment, portfolio investment, other investment flows, and reserve assets. “Otherinvestment” includes bank loans and deposits.

For Belgium and Luxembourg, data are not available.

Table 2

Global Capital Flows: Outstanding Amounts and Net Issues of International Debt Securities by Currency of Issue and Announced International Syndicated Credit Facilities by Nationality of Borrowers

(In billions of U.S. dollars)

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Source: Bank for International Settlements.

For 1994–1998, data include euro area currencies.

Table 3

Selected Indicators on the Size of the Capital Markets, 2001

(In billions of U.S. dollars, unless noted otherwise)

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Sources: World Federation of Exchanges; Bank for International Settlements; International Monetary Fund, International Financial Statistics and World Economic Outlook databases; and ©2003 Bureau van Dijk Electronic Publishing—Banks cope.

Domestic and international debt securities shown by the nationality of the issuer; for domestic, debt data refer to 2002: Q2; and for international debt, data refer to 2002: Q3.

Sum of the stock market capitalization, debt securities, and bank assets.

Table 4

Global Over-the-Counter (OTC) Derivatives Markets: Notional Amounts and Gross Market Values of Outstanding Contracts1

(In billions of U.S. dollars)

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Source: Bank for International Settlements.

AII figures are adjusted for double-counting. Notional amounts outstanding have been adjusted by halving positions vis-à-vis other reporting dealers. Gross market values have been calculated as the sum of the total gross positive market value of contracts and the absolute value of the gross negative market value of contracts with non-reporting counterparties.

Single-currency contracts only.

Adjustments for double-counting are estimated.

Gross market values after taking into account legally enforceable bilateral netting agreements.

Table 5

Global Over-the-Counter (OTC) Derivatives Markets: Notional Amounts and Gross Market Values of Outstanding Contracts by Counterparty, Remaining Maturity, and Currency Composition1

(In billions of U.S. dollars)

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Source: Bank for International Settlements.

AII figures are adjusted for double-counting. Notional amounts outstanding have been adjusted by halving positions vis-a-vis other reporting dealers. Gross market values have been calculated as the sum of the total gross positive market value of contracts and the absolute value of the gross negative market value of contracts with non-reporting counterparties.

Residual maturity.

Counting both currency sides of each foreign exchange transaction means that the currency breakdown sums to twice the aggregate.

Single-currency contracts only.

Adjustments for double-counting are estimated.

Table 6

Exchange-Traded Derivative Financial Instruments: Notional Principal Amounts Outstanding and Annual Turnover

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Source: Bank for International Settlements.
Table 7

United States: Sectoral Balance Sheets1

(In percent)

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Sources: U.S. Board of Governors of the Federal Reserve System, Flow of Funds; U.S. Department of Commerce, Bureau of Economic Analysis; U.S. Federal Deposit Insurance Corporation; and U.S. Federal Reserve Bank of St. Louis.

For 2002, data refer to 2002: Q3.

Ratio of debt payments to disposable personal income.

Table 8

Japan: Sectoral Balance Sheets

(In percent)

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Sources: Ministry of Finance, Financial Statements of Corporations by Industries; Cabinet Office, Economic and Social Research Institute, Annual Report on National Accounts; Bank of Japan, Financial Statements of Japanese Banks; and Financial Services Agency, The Status of Nonperforming Loans.
Table 9

Europe: Sectoral Balance Sheets1

(In percent)

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Sources: ©2003 Bureau van Dijk Electronic Publishing—Bankscope; ECB Monthly Bulletin, August 2002; and IMF staff estimates.

GDP-weighted average for France, Germany, and the United Kingdom, unless otherwise noted.

Corporate equity adjusted for changes in asset valuation.

Fifty largest European banks. Data availability may restrict coverage to less than 50 banks for specific indicators.

Includes the write-off of goodwill in foreign subsidiaries by banks with exposure to Argentina.

Figure 15.
Figure 15.

Emerging and Mature Market Volatility

Sources: For “Emerging Market Equity,” Morgan Stanley Capital International; and IMF staff estimates. For “Emerging Market Debt,” J.P. Morgan Chase; and IMF staff estimates. For “Mature Market Equity,” Bloomberg L.P.1Data utilize the Emerging Markets Free index in U.S. dollars to calculate 30-day rolling volatilities.2Data utilize the EMBI+ total return index in U.S. dollars to calculate 30-day rolling volatilities.3The VIX is a market estimate of future stock market volatility, and is based on the weighted average of the implied volatilities of 8 Chicago Board Options Exchange calls and puts (the nearest in- and out-of-the-money call and put options from the first and second month expirations).4The VDAX represents the implied volatility of the German DAX assuming a constant 45 days remaining until expiration of DAX index contracts.
Figure 16.
Figure 16.

Emerging Market Debt

Sources: J.P. Morgan Chase; and IMF staff estimates.1Thirty-day moving simple average across all pair-wise return correlations of 20 constituents included in the EMBI Global.2Simple average of all pair-wise correlations of all markets in a given region with all other emerging bond markets, regardless of region.
Table 10

Emerging Market Equity Indices

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Source: Data are provided by Morgan Stanley Capital International. Regional and sectoral compositions conform to Morgan Stanley Capital International definitions.
Table 11

Foreign Exchange Rates

(Units per U.S. dollar)

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Source: Bloomberg L.P.

U.S. dollars per unit.

Table 12

Emerging Market Bond Index: EMBI+ Total Returns Index

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Source: J.P. Morgan Chase.
Table 13

Emerging Market Bond Index: EMBI+ Yield Spreads

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Source: J.P. Morgan Chase.
Table 14

Total Emerging Market Financing

(In millions of U.S. dollars)

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Source: Data provided by the Bond, Equity, and Loan database of the International Monetary Fund sourced from Capital Data.

As of February 21, 2003.

Table 15

Emerging Market Bond Issuance

(In millions of U.S. dollars)

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Source: Data provided by the Bond, Equity, and Loan database of the International Monetary Fund sourced from Capital Data.

As of February 21, 2003.

Table 16

Emerging Market Equity Issuance

(In millions of U.S. dollars)

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Source: Data provided by the Bond, Equity, and Loan database of the International Monetary Fund sourced from Capital Data.

As of February 21, 2003.

Table 17

Emerging Market Loan Syndication

(In millions of U. S. dollars)

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Source: Data provided by the Bond, Equity, and Loan database of the International Monetary Fund sourced from Capital Data.

As of February 21, 2003.

Table 18

Equity Valuation Measures: Dividend-Yield Ratios

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Source: Data are from Morgan Stanley Capital International. Note: The countries above include the 27 constituents of the Emerging Markets Free index as well as Hong Kong SAR and Singapore. Regional breakdowns conform to Morgan Stanley Capital International conventions. All indices reflect investible opportunities for global investors by taking into account restrictions on foreign ownership. The indices attempt to achieve an 85 percent representation of freely floating stocks.
Table 19

Equity Valuation Measures: Price-to-Book Ratios

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Source: Data are from Morgan Stanley Capital International. Note: The countries above include the 27 constituents of the Emerging Markets Free index as well as Hong Kong SAR and Singapore. Regional breakdowns conform to Morgan Stanley Capital International conventions. All indices reflect investible opportunities for global investors by taking into account restrictions on foreign ownership. The indices attempt to achieve an 85 percent representation of freely floating stocks.
Table 20

Equity Valuation Measures: Price-Earnings Ratios

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Source: Data are from Morgan Stanley Capital International. Note: The countries above include the 27 constituents of the Emerging Markets Free index as well as Hong Kong SAR and Singapore. Regional breakdowns conform to Morgan Stanley Capital International conventions. All indices reflect investible opportunities for global investors by taking into account restrictions on foreign ownership. The indices attempt to achieve an 85 percent representation of freely floating stocks.
Table 21

United States Mutual Fund Net Flows

(In millions of U.S. dollars)

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As of February 19, 2003.

Source: Data are provided by AMG Data Services and cover net flows of U.S.-based mutual funds. Note: Fund categories are distinguished by a primary investment objective which signifies an investment of 65 percent or more of a fund's assets. Primary sector data are mutually exclusive, but emerging and regional sectors are all subsets of international equity.
Table 22

Bank Profitability

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Sources: National authorities, EDSS; IMF staff calculations; (*)©2003 Bureau van Dijk Electronic Publishing—Bankscope; (**) Moody's.

Private banks only.

Estimate due to negative equity.

Table 23

Bank Asset Quality

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Sources; National authorities, EDSS; IMF staff calculations; (*) Bankscope, ©2003 Bureau van Dijk Electronic Publishing-Bankscope; (**) Moody's.

NPLs gross of provisions to gross loans.

For most countries specific provisions to NPLs, (***) including general provisions.

Uncollectible credits only as a percentage of credits to the private sector.

Private banks only.

Loans in arrears to total loans to public and private sector enterprises.

Excluding KOBL.

Doubtful loans to total loans.

The NPL ratio is based on the national definition and excludes doubtful of loss loans that are fully provisioned and written off.

Table 24

Bank Capital Adequacy

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Sources: National authorities, EDSS; IMF staff calculations; (*)©2003 Bureau van Dijk Electronic Publishing—Bankscope; (**) Moody's.

For most countries national definitions of total capital, (***) Basel.

For most countries shareholders' equity (including profits) as a percentage of end-period total assets.

The regulatory capital ratio covers private banks only.

Including equity of head office and other branches of the same legal entity in the capital to assets ratio.

Table 25

Moody's Weighted Average Bank Financial Strength Index1

(in percent)

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Source: Moody's.

Constructed according to a numerical scale assigned to the different weighted average bank ratings by country.

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Cover Global Financial Stability Report, March 2003
Global Financial Stability Report, March 2003
Market Developments and Issues
ISBN:
9781589062108
ISSN:
1729-701X
Publication Date:
26 Mar 2003
Publisher:
International Monetary Fund
DOI:
https://doi.org/10.5089/9781589062108.082
Pages:
162
Figure 1.

Global Capital Flows: Sources and Uses of Global Capital in 2001
Figure 2.

Exchange Rates: Selected Major Industrial Countries
Figure 3.

United States: Yields on Corporate and Treasury Bonds

(Weekly data)
Figure 4.

Selected Spreads

(In basis points)
Figure 5.

Nonfinancial Corporate Credit Spreads

(In basis points)
Figure 6.

Equity Markets: Price Indexes

(January 1, 1990 = 100; weekly data)
Figure 7.

Implied and Historical Volatility in Equity Markets
Figure 8.

Historical Volatility of Government Bond Yields for Selected Countries1
Figure 9.

Twelve-Month Forward Price/Earnings Ratios
Figure 10.

Flows into U.S.-Based Equity Funds
Figure 11.

United States: Corporate Bond Market
Figure 12.

Europe: Corporate Bond Market1
Figure 13.

United States: Commercial Paper Market1
Figure 14.

United States: Asset-Backed Securities
Figure 15.

Emerging and Mature Market Volatility
Figure 16.

Emerging Market Debt