Statistical Appendix
Author: International Monetary Fund. Monetary and Capital Markets Department
Language:
English
Keywords:
GFSR; emerging market; asset; financial support package; short-term debt; government bond; return on assets; commercial paper; Nonperforming loan; Loans; Stocks; Nonperforming loans; Commercial banks; Emerging and frontier financial markets; Europe; Asia and Pacific; Middle East and Central Asia
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Abstract

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.

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 February 25, 2009.

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 Figure 1–Figure 14 and Table 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.

  • Figure 15 and Figure 16, and Table 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.

  • Table 22–Table 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

Tables

Emerging Markets

Figures

Tables

Financial Soundness Indicators

Figure 1.
Figure 1.

Major Net Exporters and Importers of Capital in 2008

Source: IMF, World Economic Outlook database as of April 16, 2009.1 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 2.1 percent.3 As measured by countries’current account deficit (assuming errors and omissions are part of thecapital and financial accounts).4 Other countries include all countries with shares of total deficit less than 2.7 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.22000 = 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.Note: Option-adjusted spread.
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 on10-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 Market 1

Sources: DCM Analytics; 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

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

Global Capital Flows: Inflows and Outflows1

(In billions of U.S. dollars)

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Sources: IMF, International Financial Statistics and World Economic Outlook databases as of April 16, 2009.

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 Signed International Syndicated Credit Facilities by Nationality of Borrower

(In billions of U.S. dollars)

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Source: Bank for International Settlements.
Table 3.

Selected Indicators on the Size of the Capital Markets, 2007

(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 (IFS) and World Economic Outlook database as of April 16, 2009; ©2003 Bureau van Dijk Electronic Publishing—Bankscope; and Standard & Poor’s Emerging Markets Database.

Data are from IFS.

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)

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Source: Bank for International Settlements.

All figures are adjusted for double-counting. Notional amounts outstanding have been adjusted by halving positions vis-áis 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 nonreporting 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)

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Source: Bank for International Settlements.

All figures are adjusted for double-counting. Notional amounts outstanding have been adjusted by halving positions vis-áis 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 nonreporting 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 Sheets

(In percent)

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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.