Front Matter Page
Monetary and Capital Markets Department
Contents
I. Introduction
II. Trends in Reporting on Financial Stability
III. Eight Case Studies of FSRs: How Did They Do During the Crisis?
A. What to Expect from a Financial Stability Report
B. What Are the Objectives of FSRs?
C. Do FSRs Cover Key Systemic Risks?
D. Is the Analysis of the FSRs Forward Looking?
E. Quantitative Content of Financial Stability Reports
F. Are Macroprudential Policies Discussed in FSRs?
G. To What Extent Are FSRs Candid about Data Gaps?
H. Standardization of the FSR Publication
IV. Is There an Empirical Link between FSRs and Financial Stability?
A. Data
B. The Empirical Model
C. Results
V. Concluding Remarks
References
Tables
1. FSRs: Clarity, Consistency, and Coverage
2. FSR Objectives
3. Coverage of Systemic Risks across Countries
4. Forward-Looking Analyses across Countries
5. Stress Test Risks Reported in FSRs
6. Summary Regression Results
Figures
1. Number of Countries Publishing FSRs, 1995–2011
2. Reporting of Stress Test Results across Countries, 2008–11
3. Standardization of the FSR Publication and Data Gap Concerns
Boxes
1. Recent Entrants into the FSR ‘Industry’: United States and India
2. Case Study: Swedish Riksbank
Appendices
I. List of FSRs Around the World (as of November 2011)
II. Good Practices in FSRs
III. Description of Data Sources and Transformations
IV. Notes on the Tables in the Case Study Section
V. Additional Empirical Results
Appendix Tables
1. Probability of a Banking Crisis (Probit model)
2. Moody’s Bank Financial Strength Rating (GLS panel model)
3. Stock Market Volatility (GLS panel)
4. Sovereign Financial Risk Ratings (GLS panel)
5. Moody’s Expected Default Frequency (GLS panel)