Abstract

Volatility is defined as the standard deviation of the monthly proportionate changes in average exchange rates over the period indicated.

Table A1.

Exchange Rate Volatility of Major Currencies with Respect to the U.S. Dollar, 1984–891

(In percent)

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Source: International Monetary Fund, International Financial Statistics (IFS).

Volatility is defined as the standard deviation of the monthly proportionate changes in average exchange rates over the period indicated.

Table A2.

Long-Term Less Short-Term Interest Rates in Major Industrial Countries, 1983–89

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Note: The long-term interest rates are monthly averages of daily or weekly observations of yields on government bonds specified as follows: France—long-term (7–10 years) government bond yield; Federal Republic of Germany—yield on government bonds with maturities of 9–10 years; Japan—over-the-counter sales yield of 10-year government bonds, with longest residual maturity; United Kingdom—yield on medium-dated (10-year) government stock; United States—yield on 10-year treasury bonds.The short-term interest rates are as follows: France—3-month interbank deposit rate; Federal Republic of Germany—3-month interbank deposit rate; Japan—3-month CD rate; United Kingdom—3-month interbank deposit rate; United States—federal funds rate and 3-month CD rate.Sources: Banque de France; Nikkei Data Service; Bank of England; Data Resources Incorporated (DRI); U.S. Federal Reserve; and International Monetary Fund, Treasurer's Department.
Table A3.

Long-Term and Short-Term Interest Rate Differentials Between the United States and Other Major Countries1

(In percent a year)

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Sources: Banque de France; Nikkei Data Service; Bank of England; Data Resources Incorporated (DRI); U.S. Federal Reserve; and International Monetary Fund, Treasurer's Department.

Differentials shown should be treated as indicative because they conceal intercountry differences in the maturity structure of long-term rates. Thus, for instance, the U.S. long-term rate is the one applicable for ten-year federal government bonds, while the German rate is that applicable for all bonds of the public authorities with maturities over three years.

The long-term interest rates are monthly averages of daily or weekly observations of yields on government bonds specified as follows: France—long-term (7–10 years) government bond yield; Federal Republic of Germany—yield on government bonds with maturities of 9–10 years; Japan—over-the-counter sales yield of 10-year government bonds, with longest residual maturity; United Kingdom—yield on medium-dated (10-year) government stock; United States—yield on 10-year treasury bonds.

The short-term interest rates are as follows: France—3-month interbank deposit rate; Federal Republic of Germany—3-month interbank deposit rate; Japan—3-month CD rate; United Kingdom—3-month interbank deposit rate; United States—federal funds rate and 3-month CD rate.

Table A4.

United States: External Capital Flows, 1986–Third Quarter 1989

(In billions of U.S. dollars)

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Source: International Monetary Fund, Balance of Payments Statistics.

Excluding liabilities held by foreign monetary authorities.

Table A5.

Japan: External Capital Flows, 1986–Second Quarter 1989

(In billions of U.S. dollars)

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Source: International Monetary Fund, Balance of Payments Statistics.

Excluding liabilities held by foreign monetary authorities.

Table A6.

Federal Republic of Germany: External Capital Flows, 1986–Third Quarter 1989

(In billions of U.S. dollars)

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Source: International Monetary Fund, Balance of Payments Statistics.

Excluding liabilities held by foreign monetary authorities.

Table A7.

United Kingdom: External Capital Flows, 1986–Third Quarter 1989

(In billions of U.S. dollars)

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Source: International Monetary Fund, Balance of Payments Statistics.

Excluding liabilities held by foreign monetary authorities.

Table A8.

Change in Interbank Claims and Liabilities, 1983–Third Quarter 19891

(In billions of U.S. dollars)

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Sources: International Monetary Fund, International Financial Statistics (IFS); and Fund staff estimates.

Data on changes in claims and liabilities are derived from stock data on the reporting countries' liabilities and assets, excluding changes attributed to exchange rate movements.

As measured by differences in the outstanding liabilities of borrowing countries, defined as cross-border interbank accounts by residence of borrowing bank.

Excluding offshore centers.

Consisting of The Bahamas, Bahrain, the Cayman Islands, Hong Kong, the Netherlands Antilles, Panama, and Singapore.

Transactors included in IFS measures for the world, to enhance global symmetry, but excluded from IFS measures for “All Countries.” The data comprise changes in the accounts of the Bank for International Settlements with banks other than central banks and changes in identified cross-border interbank accounts of centrally planned economies (excluding Fund members).

Consisting of all developing countries except the eight Middle Eastern oil exporters (the Islamic Republic of Iran, Iraq, Kuwait, the Libyan Arab Jamahiriya, Oman, Qatar, Saudi Arabia, and the United Arab Emirates) for which external debt statistics are either not available or are small in relation to external assets.

Consisting of all developing countries except the eight Middle Eastern oil exporters (listed in footnote 6), Algeria, Indonesia, Nigeria, and Venezuela.

As measured by differences in the outstanding assets of depositing countries, defined as cross-border interbank accounts by residence of lending banks.

Difference between changes in claims and liabilities.

Calculated as the difference between global measures of cross-border changes in interbank claims and liabilities.

Table A9.

Change in Claims on Nonbanks and Liabilities to Nonbanks, 1983–Third Quarter 19891

(In billions of U.S. dollars)

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Sources: International Monetary Fund, International Financial Statistics (IFS); and Fund staff estimates.

Data on changes in claims and liabilities are derived from stock data on the reporting countries' liabilities and assets, excluding changes attributed to exchange rate movements.

As measured by differences in the outstanding liabilities of borrowing countries, defined as cross-border bank credits to nonbanks by residence of borrower.

Excluding offshore centers.

Consisting of The Bahamas, Bahrain, the Cayman Islands, Hong Kong, the Netherlands Antilles, Panama, and Singapore.

Transactors included in IFS measures for the world, to enhance global symmetry, but excluded from IFS measures for “All Countries.” The data comprise changes in the accounts of international organizations (other than the Bank for International Settlements) with banks; and changes in identified cross-border bank accounts of nonbanks in centrally planned economies (excluding Fund members).

Calculated as the difference between the amount that countries report as their banks' positions with nonresident nonbanks in their monetary statistics and the amounts that banks in major financial centers report as their positions with nonbanks in each country.

Consisting of all developing countries except the eight Middle Eastern oil exporters (the Islamic Republic of Iran, Iraq, Kuwait, the Libyan Arab Jamahiriya, Oman, Qatar, Saudi Arabia, and the United Arab Emirates) for which external debt statistics are either not available or are small in relation to external assets.

Consisting of all developing countries except the eight Middle Eastern oil exporters (listed in footnote 7), Algeria, Indonesia, Nigeria, and Venezuela.

As measured by differences in the outstanding assets of depositing countries defined as international bank deposits by nonbanks by residence of depositor.

Difference between changes in claims and liabilities.

Table A10.

Long-Term Bank Credit Commitments, 1983–891

(In billions of U.S. dollars)

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Sources: Organization for Economic Cooperation and Development, Financial Statistics Monthly; and Fund staff estimates.

Owing to rounding, components may not add to totals.

Includes agreements in principle with Argentina, Côte d'lvoire, Ecuador, and the Philippines.

Includes a $0.1 billion revolving trade facility for Costa Rica.

Includes agreements in principle with the Congo, Mexico, and Nigeria.

Includes agreement in principle with Ecuador.

Includes agreements in principle with Côte d'lvoire and Yugoslavia.

Includes agreements in principle with Jordan, Mexico, and the Philippines.

Excludes offshore banking centers.

Excludes Fund member countries.