Back Matter
Author:
International Monetary Fund. Monetary and Capital Markets Department
Search for other papers by International Monetary Fund. Monetary and Capital Markets Department in
Current site
Google Scholar Close
Language:
English
Keywords:
GFSR; market; securities; emerging market; asset; commercial paper; market participant; market liquidity; market dynamics; money market securities; market turmoil; Emerging and frontier financial markets; Hedge funds; Capital inflows; Credit; Vector autoregression; Global; Asia and Pacific; Africa; Europe; Middle East
Download PDF (1.1 MB)

Abstract

An index of credit default swaps referencing 20 bonds collateralized by subprime mortgages.

GLOSSARY

ABX

An index of credit default swaps referencing 20 bonds collateralized by subprime mortgages.

Asset-backed commercial paper (ABCP)

Commercial paper collateralized by loans, leases, receivables or asset-backed securities.

Asset-backed security (ABS)

A security that is collateralized by the cash flows from a pool of underlying loans, leases, receivables, installment contracts on personal property, or on real estate. Often, when the security is collateralized by real estate, it is called a mortgage-backed security (MBS), although in principle an MBS is a type of ABS.

Assets under management (AUM)

Assets managed by an investment company on behalf of investors.

Call (put) option

A financial contract that gives the buyer the right, but not the obligation, to buy (sell) a financial instrument at a set price on or before a given date.

Capital-to-risk-weighted assets ratio

A measure that represents an institution’s capacity to cope with credit risk. It is often calculated as a ratio of categories of capital to assets, which are weighted for riskiness.

Carry trade

A leveraged transaction in which borrowed funds are used to take a position in which the expected return exceeds the cost of the borrowed funds. The “cost of carry” or “carry” is the difference between the yield on the investment and the financing cost (e.g., in a “positive carry” the yield exceeds the financing cost).

Cash securitization

The creation of securities from a pool of preexisting assets and receivables that are placed under the legal control of investors through a special intermediary created for this purpose. This compares with a “synthetic” securitization where the generic securities are created out of derivative instruments.

CAT (catastrophe) bonds

A type of insurance-linked security whereby investors bear risk if a specified catastrophic event occurs in return for an interest premium.

Collateralized debt obligation (CDO)

A structured credit security backed by a pool of securities, loans, or credit default swaps, and where securitized interests in the security are divided into tranches with differing repayment and interest earning streams.

Collateralized loan obligation (CLO)

A structured vehicle backed by whole commercial loans, revolving credit facilities, letters of credit, or other asset-backed securities.

Commercial paper

A private unsecured promissory note with short maturity. It need not be registered with the Securities and Exchange Commission provided the maturity is within 270 days, and it is typically rolled over such that new issues finance maturing ones.

Corporate governance

The governing relationships between all the stakeholders in a company—including the shareholders, directors, and management—as defined by the corporate charter, bylaws, formal policy, and rule of law.

Credit default swap (CDS)

A default-triggered credit derivative. Most CDS settlements are “physical,” whereby the protection seller buys a defaulted reference asset from the protection buyer at its face value. “Cash” settlement involves a net payment to the protection buyer equal to the difference between the reference asset face value and the price of the defaulted asset.

Credit derivative

A financial contract under which an agent buys or sells risk protection against the credit risk associated with a specific reference entity (or specific entities). For a periodic fee, the protection seller agrees to make a contingent payment to the buyer on the occurrence of a credit event (default in the case of a credit default swap).

Credit-linked note (CLN)

A security that is bundled with an embedded credit default swap and is intended to transfer a specific credit risk to investors. CLNs are usually backed by highly rated collateral.

Credit risk indicator

An indicator that measures the probability of multiple defaults among the firms in selected portfolios.

Credit spread

The spread between benchmark securities and other debt securities that are comparable in all respects except for credit quality (e.g., the difference between yields on U.S. treasuries and those on single A-rated corporate bonds of a certain term to maturity).

Derivatives

Financial contracts whose value derives from underlying securities prices, interest rates, foreign exchange rates, commodity prices, and market or other indices.

EBITDA

Earnings before interest, taxes, depreciation, and amortization.

Economic risk capital (ERC)

An assessment of the amount of capital a financial institution requires to absorb losses from extremely unlikely events over long time horizons with a given degree of certainty. ERC calculations make provision not just for market risk, but also for credit and operational risks, and may also take account of liquidity, legal, and reputational risks.

EMBIG

JP Morgan’s Emerging Market Bond Index Global, which tracks the total returns for traded external debt instruments in 34 emerging market economies with weights roughly proportional to the market supply of debt.

Emerging markets

Developing countries’ financial markets that are less than fully developed, but are nonetheless broadly accessible to foreign investors.

Expected default frequency

An estimate of a firm’s probability of default over a specific time horizon constructed using balance sheet and equity price data according to a Merton-type model.

Expected shortfall

The average expected portfolio loss, conditional on the loss exceeding the value-at-risk threshold.

Foreign direct investment (FDI)

The acquisition abroad (i.e., outside the home country) of physical assets, such as plant and equipment, or of a controlling stake in a company (usually greater than 10 percent of shareholdings).

Generalized method of moments (GMM)

A generalized statistical method—used primarily in econometrics—for obtaining estimates of parameters of statistical models; many common estimators in econometrics, such as ordinary least squares, are special cases of the GMM. The GMM estimator is robust in that it does not require information on the exact distribution of the disturbances.

Hedge funds

Investment pools, typically organized as private partnerships and often resident offshore for tax and regulatory purposes. These funds face few restrictions on their portfolios and transactions. Consequently, they are free to use a variety of investment techniques—including short positions, transactions in derivatives, and leverage—to raise returns and cushion risk.

Hedging

Offsetting an existing risk exposure by taking an opposite position in the same or a similar risk, for example, by buying derivatives contracts.

Home-equity loan/Home-equity line of credit (HEL/HELOC)

Loans or lines of credit drawn against the equity in a home, calculated as the current market value less the value of the first mortgage. When originating a HEL or HELOC, the lending institution generally secures a second lien on the home, i.e., a claim that is subordinate to the first mortgage (if it exists).

Implied volatility

The expected volatility of a security’s price as implied by the price of options or swaptions (options to enter into swaps) traded on that security. Implied volatility is computed as the expected standard deviation that must be imputed to investors to satisfy risk neutral arbitrage conditions, and is calculated with the use of an options pricing model such as Black-Scholes. A rise in implied volatility suggests the market is willing to pay more to insure against the risk of higher volatility, and hence implied volatility is sometimes used as a measure of risk appetite (with higher risk appetite being associated with lower implied volatility). One of the most widely quoted measures of implied volatility is the VIX, an index of implied volatility on the S&P 500 index of U.S. stocks.

Institutional investor

A bank, insurance company, pension fund, mutual fund, hedge fund, brokerage, or other financial group that takes large investments from clients or invests on its own behalf.

Interest rate swap

An agreement between counterparties to exchange periodic interest payments on some predetermined dollar principal, which is called the notional principal amount. For example, one party will make fixed-rate and receive variable-rate interest payments.

Intermediation

The process of transferring funds from the ultimate source to the ultimate user. A financial institution, such as a bank, intermediates credit when it obtains money from depositors or other lenders and on-lends it to borrowers.

Investment-grade obligation

A bond or loan is considered investment grade if it is assigned a credit rating in the top four categories. S&P and Fitch classify investment-grade obligations as BBB- or higher, and Moody’s classifies investment grade bonds as Baa3 or higher.

Large complex financial institution (LCFI)

A major financial institution frequently operating in multiple sectors and often with an international scope.

Leverage

The proportion of debt to equity. Leverage can be built up by borrowing (on-balance-sheet leverage, commonly measured by debt-to-equity ratios) or by using off-balance-sheet transactions.

Leveraged buyout (LBO)

Acquisition of a company using a significant level of borrowing (through bonds or loans) to meet the cost of acquisition. Usually, the assets of the company being acquired are used as collateral for the loans.

Leveraged loans

Bank loans that are rated below investment grade (BB+ and lower by S&P or Fitch, and Baa1 and lower by Moody’s) to firms with a sizable debt-to-EBITDA ratio, or trade at wide spreads over LIBOR (e.g., more than 150 basis points).

LIBOR

London Interbank Offered Rate.

Liquidity-adjusted value-at-risk (L-VaR)

A value-at-risk calculation that makes an adjustment for the trading liquidity of the assets that constitute the assessed portfolio. This can either be limits on trading positions in the portfolio linked to the assets’ underlying turnover or adjustments made to the VaR’s volatility and correlation structures to take account of illiquidity risk in extreme circumstances.

Mark-to-market

The valuation of a position or portfolio by reference to the most recent price at which a financial instrument can be bought or sold in normal volumes. The mark-to-market value might equal the current market value—as opposed to historic accounting or book value—or the present value of expected future cash flows.

Mezzanine capital

Unsecured, high-yield, subordinated debt, or preferred stock that represents a claim on a company’s assets that is senior only to that of a company’s shareholders.

Mortgage-backed security (MBS)

A security that derives its cash flows from principal and interest payments on pooled mortgage loans. An MBS can be backed by residential mortgage loans or loans on commercial properties.

Nonperforming loans

Loans that are in default or close to being in default (i.e., typically past due for 90 days or more).

Payment-in-kind toggle note

A note (or loan) feature that gives the borrower the option to defer the interest due on existing debt or to make payment using new debt, and in the process pay an effectively higher interest rate.

Primary market

The market in which a newly issued security is first offered/sold to investors.

Private equity

Shares in companies that are not listed on a public stock exchange.

Private equity funds

Pools of capital invested by private equity partnerships. Investments can include leveraged buyouts, as well as mezzanine and venture capital. In addition to the sponsoring private equity firm, other qualified investors can include pension funds, financial institutions, and wealthy individuals.

Put (call) option

A financial contract that gives the buyer the right, but not the obligation, to sell (buy) a financial instrument at a set price on or before a given date.

Risk aversion

The degree to which an investor who, when faced with two investments with the same expected return but different risk, prefers the one with the lower risk. That is, it measures an investor’s aversion to uncertain outcomes or payoffs.

Risk premium

The extra expected return on an asset that investors demand in exchange for accepting the risk associated with the asset.

Secondary markets

Markets in which securities are traded after they are initially offered/sold in the primary market.

Securitization

The creation of securities from a pool of preexisting assets and receivables that are placed under the legal control of investors through a special intermediary created for this purpose (a “special-purpose vehicle” [SPV] or “special-purpose entity” [SPE]). With a “synthetic” securitization the securities are created out of a portfolio of derivative instruments.

Security arbitrage conduit

A conduit (a vehicle that issues ABCP only) that is formed specifically for the purpose of investing in assets using relatively cheap financing. The mix of assets can change over time.

Sovereign wealth fund (SWF)

A special investment fund created/owned by government to hold assets for long-term purposes; it is typically funded from reserves or other foreign currency sources and predominantly owns, or has significant ownership of, foreign currency claims on nonresidents.

Spread

See “credit spread” (the word credit is sometimes omitted). Other definitions include (1) the gap between bid and ask prices of a financial instrument; and (2) the difference between the price at which an underwriter buys an issue from the issuer and the price at which the underwriter sells it to the public.

Structured investment vehicle (SIV)

A legal entity, whose assets consist of asset-backed securities and various types of loans and receivables. An SIV’s liabilities are usually tranched and include debt that matures in less than one year and must be rolled over.

Sub-investment-grade obligation

An obligation rated below investment-grade, sometimes referred to as “high-yield” or “junk.”

Subprime mortgages

Mortgages to borrowers with impaired or limited credit histories, who typically have low credit scores.

Swaps

An agreement between counterparties to exchange periodic interest payments based on different references on a predetermined notional amount. For example, in an interest rate swap, one party will make fixed-rate and receive variable-rate interest payments.

Syndicated loans

Large loans made jointly by a group of banks to one borrower. Usually, one lead bank takes a small percentage of the loan and partitions (syndicates) the rest to other banks.

Value-at-risk (VaR)

An estimate of the loss, over a given horizon, that is statistically unlikely to be exceeded at a given probability level.

Yield curve

A chart that plots the yield to maturity at a specific point in time for debt securities having equal credit risk but different maturity dates.

ANNEX SUMMING UP BY THE ACTING CHAIR

The following remarks by the Acting Chair were made at the conclusion of the Executive Board’s discussion of the Global Financial Stability Report on September 14, 2007.

Assessing Global Financial Stability Risks

Directors noted that global financial stability has endured a difficult period since the publication of the April 2007 Global Financial Stability Report (GFSR). Overall, financial risks have risen and markets are continuing to experience bouts of turbulence. Directors agreed with staff that, while there has been some calming in certain respects, markets generally remain unsettled, and credit conditions may not normalize soon.

Against this background, Directors welcomed the GFSR as providing a clear, well-focused, and timely analysis of the recent market turbulence. They broadly concurred with the report’s insights regarding the causes and consequences of the recent episode of turmoil, and felt that the report presents a balanced assessment of the primary areas of concern and the potential policy responses. Directors continued to view the staff’s use of the global financial stability map as useful, allowing them to track the deterioration in risks and conditions more concretely.

Directors noted that the threat to financial stability has been most evident in the money markets that provide short-term financing. At the heart of the difficulties in these markets was a funding mismatch whereby medium-term, illiquid, hard-to-value assets, such as structured credit securities, had been financed by short-term money market securities—often asset-backed commercial paper. When these asset values were threatened by a rise in delinquencies and ratings declined, short-term funding for those holding these assets became more difficult to obtain. For some entities, especially some conduits and special investment vehicles, investors became uncomfortable holding the commercial paper that was supporting these illiquid, hard-to-value assets. For others, such as hedge funds, this forced a deleveraging process, once their prime brokers balked at providing additional funding and insisted that more collateral be posted at lower values.

Directors noted that, in the recent situation of market turbulence, various central banks had moved quickly to provide liquidity—both in the overnight market, but also at longer maturities. Despite significant injections of liquidity, market participants remain uncertain about their counterparties’ condition, and are thus reluctant to onlend.

Directors agreed with staff that there are potentially a number of other reasons why funding markets had not functioned normally—including the possibility that large banks have experienced an increase in their balance sheets in the form of structured credit securities or loans associated with leveraged buyouts. In such circumstances, it remains to be seen how effective lower interest rates will be in stemming pressures in money markets, and how policymakers will balance medium-term inflation objectives against nearer-term threats to financial stability. Some Directors cautioned that care will be needed to avoid moral hazard, including by ensuring that central banks focus on addressing general disorderly markets, rather than taking on credit risk or favoring certain institutions.

Directors commended the staff for its analysis of the various issues raised by the turbulence, including the implications of the potential losses, their distribution, and their wider impact on the financial system of developments in U.S. mortgage markets. Many Directors cautioned that the difficult conditions in the U.S. subprime mortgage market may continue, calling for continued vigilance. Directors also noted that the continued work on leveraged buyout activity has aided understanding of why major banks may be unwilling to provide liquidity to others—including the likelihood that they may be holding the excess liquidity in anticipation of leveraged loans arriving on their balance sheets.

Directors noted that, so far, the financial market turbulence has not had a large adverse effect on emerging market and low-income countries. As a whole, these countries’ very favorable growth performance over the last several years has encouraged both residents and nonresidents to invest in local markets and in private sector assets. Several Directors noted, however, that the risks for emerging markets may be finely balanced, and cautioned that the turmoil in mature markets may yet spill over to emerging market countries. The deterioration in financial market confidence seen in mature markets could be expected to begin to affect some emerging market countries going forward, particularly those that have been experiencing rapid credit growth. This concern is heightened in countries where credit extension has been primarily supported by external funding, or where other vulnerabilities—such as large current account or fiscal deficits—are present. Against this background, Directors underscored the need for strengthened vigilance and surveillance in emerging markets—in addition to mature markets—to ensure credit discipline and sound development of financial markets.

On the use of synthetic rate and structured credit products by investors in emerging market countries, Directors noted that, as the growth of these instruments has been associated with a period of benign volatility, some investors are likely to see losses with the reversal of this environment. The reversal of carry-trade-style external borrowing by emerging market firms could also be detrimental to investors. Directors advised that monitoring systems for these types of exposures of domestic corporations and financial institutions be strengthened so that risks can be better managed.

Directors considered that the current episode of turbulence should not be viewed as having ended, and with this awareness, broadly endorsed the initial set of policy conclusions reached in the report. Directors recognized that the development of financial markets in recent years has resulted in many benefits and useful innovations, and underscored the importance of not rushing to judgment about the causes of the current turmoil or the implications for financial sector policies. At the same time, they noted that much remains to be done to improve transparency and disclosure, starting with the complex structured products that have proliferated across large parts of the global financial system. More information about how they are valued and the underlying assumptions—as well as how they are distributed across investors—would remove much of the uncertainty that underlies the current concerns of market participants. Directors also viewed better transparency and disclosure regarding financial institutions, and their various conduits and special investment vehicles, as particularly important. Directors also generally considered that the recent episode suggests that the “originate and distribute” business model used by many financial institutions to securitize and redistribute risks may need to be reevaluated to ensure that the supply chain has adequate incentives to evaluate the credit quality of the loans being repackaged.

Many Directors noted concerns about the ratings agencies’ conflict of interest, as they both rate and help design complex securities for issuers requesting the rating. Some Directors noted that this is a longstanding conflict, and that ratings agencies still perform a useful and fundamental role in rating credit risks that will need to be retained. It was also suggested that ratings agencies should review the quality of their methodologies. At the same time, most Directors agreed that investors, for their part, must also take responsibility for their own analysis of such products, particularly given that the risks are not confined to credit risk, but also entail market and liquidity risks.

Many Directors viewed the recent episode as a reminder to regulators and supervisors that there remain gaps in their oversight of financial institutions that would likely require further attention and examination. Directors noted that some financial institutions’ risk management systems and their disclosures—even to supervisors—make it difficult to detect the off-balance sheet risks being undertaken, and that this would need to be rectified going forward. At the same time, Directors acknowledged that the experience to date does not point to a need for a substantial overhaul of regulatory frameworks. Any revisions would have to be carefully considered, and unintended consequences anticipated.

Do Market Risk Management Techniques Amplify Systemic Risks?

Directors welcomed the improvements in market risk management systems in recent years. At the same time, they welcomed the staff analysis of certain weaknesses in these systems as a timely and relevant reminder that no risk management system is perfect. In particular, Directors noted that risk management practices and models—including the popular value-at-risk (VaR) measures—have the potential to exacerbate volatility and to lead to systemic risks if followed mechanistically.

Some Directors observed that it would be difficult to avoid the trend toward greater uniformity in the approaches that firms use in risk management modeling, as the desire to attain “best practices” is encouraged by many aspects of risk management—including through supervisory guidance and capital requirements, peer pressure, and similarly-trained risk managers. Nonetheless, Directors generally acknowledged that financial institutions should aim to analyze the risks specific to their organization, by developing their own models and rigorously stress-testing their positions to assure the institutions’ viability during a time of stress.

Directors noted that recent events point to the potentially negative influence of some risk management practices—such as margin requirements—that have added to “fire sales” of some assets used as collateral. However, if margin requirements are initially set more conservatively and are less risk sensitive, market dynamics would be more stable. Further, it was noted that a diversity of positions and types of trading strategies could help contain amplifying effects. Directors also believed that better disclosure of how risks are managed could allow institutions and supervisors to better anticipate the negative effects during stressful events.

The Quality of Domestic Financial Markets and Capital Inflows

Given the rapid capital inflows experienced by several emerging market countries, Directors welcomed the renewed focus on the challenges—and related policy responses—associated with surges in capital inflows. They observed that, while macroeconomic performance and growth prospects are the dominant influences on capital flows, equity market liquidity and financial openness also help attract capital inflows. Most Directors concurred with the empirical analysis that more financial openness is associated with lower capital inflow volatility. Also, improved institutional quality in the financial sector is shown to lower the volatility of capital inflows. While Directors agreed with the main results of the study, several Directors noted that its recommendation—to improve financial market infrastructure and depth—represents a medium-term challenge.

Directors recognized that large capital inflows in different country circumstances call for different policy responses. Good regulation and supervision, as well as strong risk management practices, are important for mitigating the potentially destabilizing effects of a reversal of inflows. In this context, many Directors questioned the usefulness and effectiveness of capital controls for managing capital inflows—especially given the difficulties in their sustained implementation and the associated reputational costs. Some Directors, however, recognized the usefulness of capital controls in the short term in stemming large, speculative capital inflows. It was noted that, if capital controls are used, they should preferably be market-based, have a fixed horizon, and be considered as part of a consistent set of macroeconomic and prudential measures. Several Directors also noted that concerns related to rapid and risky credit expansion are best dealt with through prudential measures, rather than by attempts to impede the inflow of capital.

Directors welcomed the analysis of Sovereign Wealth Funds (SWFs) contained in the report. Some Directors observed that some SWFs have adopted best practices in financial management. Moreover, SWFs can play a positive role in enhancing market liquidity and financial resource allocation. Several Directors suggested that SWFs warrant further study, given their macroeconomic role, potential size, and implications for global capital flows and asset prices. They called on staff to engage in further research on the objectives and characteristics of SWFs, including their asset management strategies, institutional and governance arrangements, and disclosure practices.

Finally, Directors commented on the broader question of the IMF’s role as an international monetary institution in situations such as the recent market turmoil. A key aspect of this role entails working closely—and exchanging views and information—with national regulators, central banks, and other international institutions, both bilaterally and through established for a such as the Financial Stability Forum. Several Directors underscored that the IMF should be able to act in a timely and proactive fashion in sharing its perspectives with, and providing its advice to, national authorities, drawing on its unique insights gained from financial surveillance of its virtually universal membership. To this end, continued work to broaden and deepen the IMF’s financial market expertise—including with respect to emerging markets with increasingly globalized financial systems—will be important. Given the crucial need for timely and accurate information in assessing and responding to financial market turbulence, several Directors also highlighted the important contribution that the IMF can make to filling information gaps by virtue of its access to financial sector information in its surveillance activities. Overall, Directors saw a role for the IMF in facilitating appropriate responses to the current situation, and more broadly in promoting global financial stability.

STATISTICAL APPENDIX

This statistical appendix 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, however, 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 GFSR, is intended to give the reader an overview of developments in global financial markets. Unless otherwise noted, the statistical appendix reflects information available up to July 27, 2007.

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, 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 financing flows.

  • Tables 22–27 report key financial soundness indicators for selected countries, including bank profitability, asset quality, and capital adequacy.

List of Tables and Figures
Key Financial Centers

Figures

1. Major Net Exporters and Importers of Capital in 2006

2. Exchange Rates: Selected Major Industrial Countries

3. United States: Yields on Corporate and Treasury Bonds

4. Selected Spreads

5. Nonfinancial Corporate Credit Spreads

6. Equity Markets: Price Indices

7. Implied and Historical Volatility in Equity Markets

8. Historical Volatility of Government Bond Yields and Bond Returns for Selected Countries

9. Twelve-Month Forward Price/Earnings Ratios

10. Flows into U.S.-Based Equity Funds

11. United States: Corporate Bond Market

12. Europe: Corporate Bond Market

13. United States: Commercial Paper Market

14. United States: Asset-Backed Securities

Tables

1. Global Capital Flows: Inflows and Outflows

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

3. Selected Indicators on the Size of the Capital Markets, 2006

4. Global Over-the-Counter Derivatives Markets: Notional Amounts and Gross Market Values of Outstanding Contracts

5. Global Over-the-Counter Derivatives Markets: Notional Amounts and Gross Market Values of Outstanding Contracts by Counterparty, Remaining Maturity, and Currency

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

7. United States: Sectoral Balance Sheets

8. Japan: Sectoral Balance Sheets

9. Europe: Sectoral Balance Sheets

Emerging Markets

Figures

15. Emerging Market Volatility Measures

16. Emerging Market Debt Cross-Correlation Measures

Tables

10. Equity Market Indices

11. Foreign Exchange Rates

12. Emerging Market Bond Index: EMBI Global Total Returns Index

13. Emerging Market Bond Index: EMBI Global Yield Spreads

14. Emerging Market External Financing: Total Bonds, Equities, and Loans

15. Emerging Market External Financing: Bond Issuance

16. Emerging Market External Financing: Equity Issuance

17. Emerging Market External Financing: Loan Syndication

18. Equity Valuation Measures: Dividend-Yield Ratios

19. Equity Valuation Measures: Price-to-Book Ratios

20. Equity Valuation Measures: Price/Earnings Ratios

21. Emerging Markets: Mutual Fund Flows

Financial Soundness Indicators

22. Bank Regulatory Capital to Risk-Weighted Assets

23. Bank Capital to Assets

24. Bank Nonperforming Loans to Total Loans

25. Bank Provisions to Nonperforming Loans

26. Bank Return on Assets

27. Bank Return on Equity

Figure 1.
Figure 1.

Major Net Exporters and Importers of Capital in 2006

Source: IMF, World Economic Outlook database, as of August 21, 2007.1 As measured by countries’ current account surplus (assuming errors and omissions are part of the capital and financial accounts).2 Other countries include all countries with shares of total surplus less than 1.9 percent.3 As measured by countries’ current account deficit (assuming errors and omissions are part of the capital and financial accounts).4 Other countries include all countries with shares of total deficit less than 2.2 percent.
Figure 2.
Figure 2.

Exchange Rates: Selected Major Industrial Countries

(Weekly data)

Sources: Bloomberg L.P.; and the IMF Global Data System.Note: In each panel, the effective and bilateral exchange rates are scaled so that an upward movement implies an appreciation of the respective local currency.1 Local 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.2 2000 = 100; constructed using 1999–2001 trade weights.
Figure 3.
Figure 3.

United States: Yields on Corporate and Treasury Bonds

(Monthly data)

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

Selected Spreads

(In basis points; monthly data)

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

Nonfinancial Corporate Credit Spreads

(In basis points; monthly data)

Source: Merrill Lynch.
Figure 6.
Figure 6.

Equity Markets: Price Indices

(January 1, 1990 = 100; weekly data)

Source: Bloomberg L.P.
Figure 7.
Figure 7.

Implied and Historical Volatility in Equity Markets

(Weekly data)

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. Historical volatility is calculated as a rolling 100-day annualized standard deviation of equity price changes. Volatilities are expressed in percent rate of change.1 VIX is the Chicago Board Options Exchange volatility index. This index is calculated by taking a weighted average of implied volatility for the eight S&P 500 calls and puts.
Figure 8.
Figure 8.

Historical Volatility of Government Bond Yields and Bond Returns for Selected Countries1

(Weekly data)

Sources: Bloomberg L.P.; and Datastream.1 Volatility calculated as a rolling 100-day annualized standard deviation of changes in yield and returns on 10-year government bonds. Returns are based on 10-plus year government bond indices.
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: Investment Company Institute; and Datastream.1 In 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.1 Spread against yield on 10-year U.S. government bonds.
Figure 12.
Figure 12.

Europe: Corporate Bond Market1

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

United States: Commercial Paper Market1

Source: Board of Governors of the Federal Reserve System.1 Nonfinancial commercial paper.2 Difference 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.1 Merrill Lynch AAA Asset-Backed Master Index (fixed rate) option-adjusted spread.2 Collateralized bond/debt obligations; for 2007 Q1, CBO/CDO amount outstanding is included in Other.
Table 1.

Global Capital Flows: Inflows and Outflows1

(In billions of U.S. dollars)

article image
article image
Sources: International Monetary Fund, International Financial Statistics and World Economic Outlook database as of August 21, 2007.

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

This aggregate comprises the group of Other Emerging Market and Developing Countries defined in the World Economic Outlook, together with Hong Kong SAR, Israel, Korea, Singapore, and Taiwan Province of China.

Table 2.

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

(In billions of U.S. dollars)

article image
Source: Bank for International Settlements.
Table 3.

Selected Indicators on the Size of the Capital Markets, 2006

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

article image
Sources: World Federation of Exchanges; Bank for International Settlements; International Monetary Fund, International Financial Statistics (IFS) and World Economic Outlook database as of August 21, 2007; ©2003 Bureau van Dijk Electronic Publishing-Bankscope; and Standard & Poor’s Emerging Market Database.

Data are from IFS.

Assets of commercial banks.

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

This aggregate comprises the group of Other Emerging Market and Developing Countries defined in the World Economic Outlook, together with Hong Kong SAR, Israel, Korea, Singapore, and Taiwan Province of China.

Table 4.

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

(In billions of U.S. dollars)

article image
Source: Bank for International Settlements.

All 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 Derivatives Markets: Notional Amounts and Gross Market Values of Outstanding Contracts by Counterparty, Remaining Maturity, and Currency1

(In billions of U.S. dollars)

article image
Source: Bank for International Settlements.

All 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.

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

article image
article image
Source: Bank for International Settlements.
Table 7.

United States: Sectoral Balance Sheets

(In percent)

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

Ratio of net interest payments to pre-tax income.

Ratio of debt payments to disposable personal income.

FDIC-insured commercial banks.

Loans past due 90+ days and nonaccrual.

Noninterest expense less amortization of intangible assets as a percent of net interest income plus noninterest income.

Table 8.

Japan: Sectoral Balance Sheets1

(In percent)

article image
Sources: Ministry of Finance, Financial Statements of Corporations by Industries; Cabinet Office, Economic and Social Research Institute, Annual Report on National Accounts; Japanese Bankers Association, Financial Statements of All Banks; and Financial Services Agency, The Status of Nonperforming Loans.

Data are fiscal year beginning April 1. Stock data on households are only available through FY2005.

Interest payments as a percent of operating profits.

Revised due to the change in GDP figures.

Interest payments as a percent of disposable income.

Nonperforming loans are based on figures reported under the Financial Reconstruction Law.

Net income as a percentage of stockholders’ equity (no adjustment for preferred stocks, etc.).

Table 9.

Europe: Sectoral Balance Sheets1

(In percent)

article image
Sources: ©2003 Bureau van Dijk Electronic Publishing-Bankscope; European Central Bank, Monthly Bulletin; 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.

Interest payments as a percent of gross operating profits.

Interest payments as percent of disposable income.

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

Cost-to-income ratio.

Figure 15.
Figure 15.

Emerging Market Volatility Measures

Sources: For “Emerging Market Equity Volatility,” Morgan Stanley Capital International (MSCI); and IMF staff estimates. For “Emerging Market Debt Volatility,” JPMorgan Chase & Co.; and IMF staff estimates.1 Data utilize the MSCI Emerging Markets index in U.S. dollars to calculate 30-day rolling volatilities.2 Data utilize the EMBI Global total return index in U.S. dollars to calculate 30-day rolling volatilities.
Figure 16.
Figure 16.

Emerging Market Debt Cross-Correlation Measures

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

Equity Market Indices

article image
article image
article image
Source: Data are provided by Morgan Stanley Capital International. Regional and sectoral compositions conform to Morgan Stanley Capital International Definitions.

From 1990 or initiation of the index.

Table 11.

Foreign Exchange Rates

(Units per U.S. dollar)

article image
article image
Source: Bloomberg L.P.

High value indicates value of greatest appreciation against the U.S. dollar; low value indicates value of greatest depreciation against the U.S. dollar. “All-Time” refers to the period since 1990 or initiation of the currency.

U.S. dollars per unit.

Table 12.

Emerging Market Bond Index: EMBI Global Total Returns Index

article image
article image
Source: JPMorgan Chase & Co.

Data prior to 2006 refer to Serbia and Montenegro.

Table 13.

Emerging Market Bond Index: EMBI Global Yield Spreads

(In basis points)

article image
article image
Source: JPMorgan Chase & Co.

Data prior to 2006 refer to Serbia and Montenegro.

Table 14.

Emerging Market External Financing: Total Bonds, Equities, and Loans

(In millions of U.S. dollars)

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

Data prior to 2006 refer to Serbia and Montenegro.

Table 15.

Emerging Market External Financing: Bond Issuance

(In millions of U.S. dollars)

article image
Source: Data provided by the Bond, Equity and Loan database of the International Monetary Fund sourced from Dealogic.
Table 16.

Emerging Market External Finance: Equity Issuance

(In millions of U.S. dollars)

article image
Source: Data provided by the Bond, Equity and Loan database of the International Monetary Fund sourced from Dealogic.
Table 17.

Emerging Market External Financing: Loan Syndication

(In millions of U.S. dollars)

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

Data prior to 2006 refer to Serbia and Montenegro.

Table 18.

Equity Valuation Measures: Dividend-Yield Ratios

article image
Source: Standard & Poor’s Emerging Market Database.
Table 19.

Equity Valuation Measures: Price-to-Book Ratios

article image
Source: Standard & Poor’s Emerging Market Database.
Table 20.

Equity Valuation Measures: Price/Earnings Ratios

article image
Source: Standard & Poor’s Emerging Market Database.
Table 21.

Emerging Markets: Mutual Fund Flows

(In millions of U.S. dollars)

article image
Source: Emerging Portfolio Fund Research, Inc.
Table 22.

Bank Regulatory Capital to Risk-Weighted Assets

(In percent)

article image
article image
Sources: National authorities; and IMF staff estimates. Note: Due to differences in national accounting, taxation, and supervisory regimes, FSI data are not strictly comparable across countries.

Banking sector excludes offshore banks in Costa Rica, and the state mortgage bank in Uruguay.

In 2006, the Uruguay Central Bank changed the methodology for calculating the regulatory capital ratio, changing the weights and adding a factor to the denominator to account for market risk. Regulatory capital ratios are smaller in 2006 and 2007, compared to previous years, due to this calculation.

Without foreign bank branches.

Statistical break starting in 2003.

Data prior to 2006 refer to Serbia and Montenegro.

Statistical break starting in 2002.

Starting in 2004 data reported on a consolidated basis.

Statistical break starting in 2003.

All banks.

Consolidated reports for banking groups and individual reports for banks not belonging to groups.

For 2005 and 2006, the figures are for the sample of institutions that are already complying with IAS, accounting as of December 2004 for about 87 percent of the usual aggregate considered.

Tier 1 ratio; not comparable with the other indicators in the table. Data for the four large banking groups.

On a consolidated basis.

For the end of the fiscal year, i.e., March of the following calendar year; for major banks.

Table 23.

Bank Capital to Assets

(In percent)

article image
article image
Sources: National authorities; and IMF staff estimates. Note: Due to differences in national accounting, taxation, and supervisory regimes, FSI data are not strictly comparable across countries.

Banking sector excludes offshore banks in Costa Rica, and the state mortgage bank in Uruguay.

Capital is defined as bank shareholders’ equity and foreign bank branches funds received from the head office.

Statistical break starting in 2003.

Data prior to 2006 refer to Serbia and Montenegro.

Statistical break starting in 2002.

Shareholders’ equity to total assets.

Data on a nonconsolidated basis. From 2004 in accordance with IFRS.

Commercial banks and six largest savings banks (five largest savings banks from 2006 due to a merger of two banks).

Calculated on period average data.

For 2005 and 2006, the figures are for the sample of institutions that are already complying with IAS, accounting as of December 2004 for about 87 percent of the usual aggregate considered.

On accounting basis, consolidated.

Data for the four large banking groups.

Data for six of the large banks.

Core capital ratio.

Tier 1 capital to total assets.

Tier 1 and Tier 2 capital to total assets.

For the end of the fiscal year, i.e., March of the following calendar year; all banks.

Table 24.

Bank Nonperforming Loans to Total Loans

(In percent)

article image
article image
Sources: National authorities; and IMF staff estimates. Note: Due to differences in national accounting, taxation, and supervisory regimes, FSI data are not strictly comparable across countries.

Banking sector excludes offshore banks in Costa Rica, and the state mortgage bank in Uruguay.

From end-2005 nonperforming loans are loans with payments overdue more than 60 days. Until 2004 they are defined as loans in “substandard,” “doubtful,” and “loss” loan categories.

Includes only loans to nonfinancial sector.

Data prior to 2006 refer to Serbia and Montenegro. The numbers represent share of assets in the three lowest risk categories (C,D,E).

Statistical break starting in 2002.

The increase in nonperforming loans in 2003 reflects a revision in the official definition.

Net of provisions. Loans are defined as the sum of claims on credit institutions, the public, and public sector entities.

Gross doubtful debts.

2006 figure is preliminary; for large banks and not strictly comparable with previous years.

Commercial banks and six largest savings banks (five largest savings banks from 2006 due to a merger of two banks).

Banking groups.

For the 2001–04 period, nonperforming loans include only substandard loans and bad debts. For the 2005–06 period, the aggregate includes also loans overdue for more than 180 days.

2006 data cover two of the large banks only; not strictly comparable with previous years.

For 2005 and 2006, the figures are for the sample of institutions that are already complying with IAS, accounting as of December 2004 for about 87 percent of the usual aggregate considered.

On a consolidated basis. Nonperforming loans are defined as credit to customers overdue.

Data for the four large banking groups.

Compromised assets ratio; includes reported nonperforming loans, restructured loans and foreclosed assets for the 16 largest banks. Not directly comparable to the other indicators in the table. Starting from 2005 the ratio is based on financial information for the 15 largest banks as of December 2005.

Refers to loans classified “substandard” and below.

Nonperforming assets ratio; includes nonperforming loans plus real and other properties owned or acquired. Not directly comparable to the other indicators in the table.

Nonperforming loans to nonbank loans.

All commercial banks (includes foreign branches).

Classified loans excluding interest in suspense.

Figures exclude loans in arrears that are covered by collateral.

For the end of the fiscal year, i.e., March of the following calendar year; for all banks.

Table 25.

Bank Provisions to Nonperforming Loans

(In percent)

article image
article image
Sources: National authorities; and IMF staff estimates. Note: Due to differences in national accounting, taxation, and supervisory regimes, FSI data are not strictly comparable across countries.

Banking sector excludes offshore banks in Costa Rica, and the state mortgage bank in Uruguay.

Provisions to nonstandard loans.

Nonperforming loans reflect unadjusted exposure to loans classified as “loss,” “doubtful,” and “substandard.” The steady level of nonperforming loans in the face of growing credit partly reflects Romania’s relatively conservative classification and provisioning requirements. Provisioning requirements, net of collateral, are 100 percent for loss, 50 percent for doubtful.

Change in definition in 2004; not strictly comparable with previous years.

Data prior to 2006 refer to Serbia and Montenegro.

Statistical break starting in 2002.

2006 data cover two of the large banks only; not strictly comparable with previous years.

Large banks.

Banking groups.

For 2005 and 2006, the figures are for the sample of institutions that are already complying with IAS, accounting as of December 2004 for about 87 percent of the usual aggregate considered.

On a consolidated basis. Nonperforming loans are defined as credit to customers overdue.

Data for the four large banking groups.

Provisions to classified loans net of interest in suspense.

For the end of the fiscal year, i.e., March of the following calendar year; coverage of nonperforming loans by provisions for all banks.

Table 26.

Bank Return on Assets

(In percent)

article image
article image
Sources: National authorities; and IMF staff estimates. Note: Due to differences in national accounting, taxation, and supervisory regimes, FSI data are not strictly comparable across countries.

Before tax.

Banking sector excludes offshore banks in Costa Rica, and the state mortgage bank in Uruguay.

Net income before extraordinary items and taxes to average total assets.

Adjusted for unallocated provisions for potential loan losses.

Statistical break starting in 2003.

Data prior to 2006 refer to Serbia and Montenegro.

Statistical break starting in 2002.

Starting in 2004 data reported on a consolidated basis.

Gross profits.

2001 adjusted for large intra-financial conglomerate transactions.

Simple average for large banks in 2006; not strictly comparable with previous years.

For 2005 and 2006 the figures are for the sample of institutions that are already complying with IAS, accounting as of December 2004 for about 87 percent of the usual aggregate considered.

Data for the four large banking groups.

Simple average for the reformed state-owned commercial banks (two banks in 2004, three banks in 2005 and 2006). Aggregate data not available.

Net interest margin, not comparable with the other indicators in the table.

For the end of the fiscal year, i.e., March of the following calendar year; all banks.

Table 27.

Bank Return on Equity

(In percent)

article image
article image
Sources: National authorities; and IMF staff estimates. Note: Due to differences in national accounting, taxation, and supervisory regimes, FSI data are not strictly comparable across countries.

Before tax.

Banking sector excludes offshore banks in Costa Rica, and the state mortgage bank in Uruguay.

Capital is defined as bank shareholders’ equity and foreign bank branches funds received from the head office. Net income before extraordinary items and taxes.

Adjusted for unallocated provisions for potential loan losses.

Data prior to 2006 refer to Serbia and Montenegro.

Statistical break starting in 2002.

Starting in 2004 data reported on a consolidated basis.

Gross profits.

2001 adjusted for large intra-financial conglomerate transactions.

Commercial banks and six largest savings banks (five largest savings banks from 2006 due to a merger of two banks).

For 2005 and 2006, the figures are for the sample of institutions that are already complying with IAS, accounting as of December 2004 for about 87 percent of the usual aggregate considered.

Data for the four large banking groups.

Simple average for the reformed state-owned commercial banks (two banks in 2004, three banks in 2005 and 2006). Aggregate data are not available.

2005 figure on a domestic consolidation basis; not strictly comparable with previous years.

Financial sector.

For the end of the fiscal year, i.e., March of the following calendar year; all banks.

World Economic and Financial Surveys

This series (ISSN 0258-7440) contains biannual, annual, and periodic studies covering monetary and financial issues of importance to the global economy. The core elements of the series are the World Economic Outlook report, usually published in April and September, the semiannual Global Financial Stability Report, and the semiannual Regional Economic Outlooks published by the IMF’s area departments. Occasionally, studies assess international trade policy, private market and official financing for developing countries, exchange and payments systems, export credit policies, and issues discussed in the World Economic Outlook. Please consult the IMF Publications Catalog for a complete listing of currently available World Economic and Financial Surveys.

World Economic Outlook: A Survey by the Staff of the International Monetary Fund

The World Economic Outlook, published twice a year in English, French, Spanish, and Arabic, presents IMF staff economists’ analyses of global economic developments during the near and medium term. Chapters give an overview of the world economy; consider issues affecting industrial countries, developing countries, and economies in transition to the market; and address topics of pressing current interest.

Annual subscription: $94.00

Published twice yearly. Paperback.

ISSN: 0256-6877. Stock# WEOSEA

Available in English, French, Spanish, and Arabic.

Global Financial Stability Report: Market Developments and Issues

The Global Financial Stability Report, published twice a year, examines trends and issues that influence world financial markets. It focuses on current market conditions, highlighting issues of financial imbalances, and of a structural nature, that could pose risks to financial market stability and sustained market access by emerging market borrowers. The report is designed to deepen understanding of international capital flows, which play a critical role as an engine of world economic growth.

Annual subscription: $94.00

Published twice yearly. Paperback. Stock# GFSREA

Regional Economic Outlooks

These in-depth studies of the Asia and Pacific, Europe, Middle East and Central Asia, sub-Saharan Africa, and Western Hemisphere regions drill down to specific regional economic and financial developments and trends—bringing the unique resources, experience, and perspective of the IMF to bear. While near-term responses to exogenous shocks, policies for growth, and the effectiveness of financial policies get center-stage examination, the reports also consider vulnerabilities and opportunities developing in the wings.

Individual copies of the Regional Economic Outlooks are available at $31.00 (academic rate: $26.00). Please visit http://www.imfbookstore.org/REOs or contact publications@imf.org for further information on all REO subscription packages.

Emerging Local Securities and Derivatives Markets

by Donald Mathieson, Jorge E. Roldos, Ramana Ramaswamy, and Anna Ilyina

The volatility of capital flows since the mid-1990s has sparked an interest in the development of local securities and derivatives markets. This report examines the growth of these markets in emerging market countries and the key policy issues that have arisen as a result.

$42.00 (academic rate: $35.00); paper.

2004. ISBN 1-58906-291-4. Stock# WEOEA0202004.

Official Financing: Recent Developments and Selected Issues

by a staff team in the Policy Development and Review Department led by Martin G. Gilman and Jian-Ye Wang

This study provides information on official financing for developing countries, with the focus on low-income countries. It updates the 2001 edition and reviews developments in direct financing by official and multilateral sources.

$42.00 (academic rate: $35.00); paper.

2003. ISBN 1-58906-228-0. Stock# WEOEA0132003.

2001. ISBN 1-58906-038-5. Stock# WEOEA0132001.

Exchange Arrangements and Foreign Exchange Markets: Developments and Issues

by a staff team led by Shogo Ishii

This study updates developments in exchange arrangements during 1998–2001. It also discusses the evolution of exchange rate regimes based on de facto policies since 1990, reviews foreign exchange market organization and regulations in a number of countries, and examines factors affecting exchange rate volatility.

ISSN 0258-7440

$42.00 (academic rate: $35.00)

March 2003. ISBN 1-58906-177-2. Stock# WEOEA0192003.

Available by series subscription or single title (including back issues); academic rate available only to full-time university faculty and students. For earlier editions please inquire about prices.

The IMF Catalog of Publications is available on-line at the Internet address listed below.

Please send orders and inquiries 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

E-mail: publications@imf.org Internet:

http://www.imf.org/external/pubind.htm
  • Collapse
  • Expand
Cover Global Financial Stability Report, October 2007
Global Financial Stability Report, October 2007
Financial Market Turbulence Causes, Consequences, and Policies
ISBN:
9781589066762
ISSN:
1729-701X
Publication Date:
15 Oct 2007
Publisher:
International Monetary Fund
DOI:
https://doi.org/10.5089/9781589066762.082
Pages:
194
Figure 1.

Major Net Exporters and Importers of Capital in 2006
Figure 2.

Exchange Rates: Selected Major Industrial Countries

(Weekly data)
Figure 3.

United States: Yields on Corporate and Treasury Bonds

(Monthly data)
Figure 4.

Selected Spreads

(In basis points; monthly data)
Figure 5.

Nonfinancial Corporate Credit Spreads

(In basis points; monthly data)
Figure 6.

Equity Markets: Price Indices

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

Implied and Historical Volatility in Equity Markets

(Weekly data)
Figure 8.

Historical Volatility of Government Bond Yields and Bond Returns for Selected Countries1

(Weekly data)
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 Market Volatility Measures
Figure 16.

Emerging Market Debt Cross-Correlation Measures