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.