Global Financial Stability Report
Financial Market Turbulence: Causes, Consequences, and Policies
September 2007
On this site, the term "country" does not in all cases refer to a territorial entity that is a state as understood by international law and practice. As used here, the term also covers some territorial entities that are not states. Dependent territories of member countries are listed alphabetically followed by a description of the constitutional relationships with their member countries.
©2007 International Monetary Fund
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The Global Financial Stability Report provides semiannual assessments of global financial markets and addresses emerging market financing in a global context.* |
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Contents
| Executive Summary(90KB pdf file) | ||
| Video summary of the Global Financial Stability Report by Mr. Jaime Caruana | ||
| Video Clips of the Global Financial Stability Report Press Briefing by Mr. Jaime Caruana | ||
| Chapter I. Assessing Risks To Global Financial Stability | ||
|---|---|---|
| Full Text (616KB pdf file) | Summary | ||
| Global Financial Stability Map | ||
| Credit Indiscipline in Mature Markets | ||
| Weaker Credit and Market Discipline Warrants Increased Surveillance in Emerging Markets | ||
| Investment Inflows into Emerging Markets—Do They Destabilize Local Markets? | ||
| Policy Challenges | ||
| Annex 1.1. The Global Financial Stability Map | ||
| Annex 1.2. Sovereign Wealth Funds | ||
| References | ||
| Chapter II. Do Market Risk Management Techniques Amplify Systemic Risks? | ||
| Full Text (336KB pdf file) | Summary | ||
| VaR and Other Risk Management Techniques | ||
| Assessing Amplification Effects in a Stylized Market Risk Management Framework | ||
| Developments in Market Risk Management Practices by Banks and Hedge Funds | ||
| Observations | ||
| Policy Implications | ||
| Conclusions | ||
| References | ||
| Chapter III. The Quality of Domestic Financial Markets and Capital Inflows | ||
| Full Text (308KB pdf file) | Summary | ||
| Does Domestic Financial Development Help Determine Capital Inflows? | ||
| Challenges Associated with Capital Inflows and Policy Responses: Case Studies | ||
| Key Results and Conclusions | ||
| Annex 3.1. Estimation Specification and Results | ||
| Annex 3.2. Experiences with Recent Capital Inflows: Brazil, India, Romania, South Africa, and Vietnam | ||
| Annex 3.3 Experiences with Recent Capital Inflows: Selected Countries | ||
| References | ||
| Glossary (107KB pdf file) | ||
| Annex: Summing Up by the Acting Chair | ||
| Statistical Appendix (1,321KB pdf file) | ||
| Boxes | ||
| 1.1 | Estimates of Nonprime Mortgage Losses | |
| 1.2 | Concerns in the Asset-Backed Commercial Paper Market | |
| 1.3 | Equity Inflows and Emerging Markets | |
| 1.4 | The Role of Hedge Funds in Emerging Asia | |
| 1.5 | Sovereign Wealth Funds: A Statistical Perspective | |
| 2.1 | Criticism of VaR-Based Risk Management Models and Alternatives | |
| 2.2 | The Basics for Constructing VaR Measures | |
| 2.3 | Risk Measurement and Disclosure Practices of Financial Institutions | |
| 2.4 | The Amaranth Hedge Fund Failure and Liquidity Risk | |
| 3.1 | Recent Developments with Capital Flows in Emerging Asia and Latin America | |
| 3.2 | Discussions with Investors into Emerging Markets: Do "Micro" Financial Factors Attract International Capital? | |
| 3.3 | How Investors Gain Exposure to an Emerging Market in the Presence of Capital Controls: The Case of India | |
| Tables | ||
| 1.1 | Weakening Discipline in Subprime is Mirrored in Leveraged Buyouts | |
| 1.2 | Private Equity Deal Scenarios | |
| 1.3 | Stylized Example of a Forced Unwind of Leverage | |
| 1.4 | Typical Haircut: Bond, Leveraged Loan, and ABS and CDOs | |
| 1.5 | Structure of External Financing and Banking System Soundness and Ownership | |
| 1.6 | Changes in Risks and Conditions Since the April 2007 Global Financial Stability Report | |
| 1.7 | Size and Structure of Major Sovereign Wealth Funds | |
| 2.1 | Selected Correlation Coefficients Between Asset Classes in the Interactive Model | |
| 3.1 | Panel Least-Squares Estimation of the Determinants of Total Capital Inflows | |
| 3.2 | Panel Generalized Method of Moments Estimation of the Determinants of the Standard Deviation of Total Capital Inflows, 1998-2006 | |
| 3.3 | Indicators for Selected Countries, 2001 and 2006 | |
| 3.4 | Descriptive Statistics for Variables Used in Panel Regressions, 1975-2006 | |
| 3.5 | Fixed-Effects Panel Least-Squares Estimation of the Determinants of Capital Inflows (All Countries, Full Sample) | |
| 3.6 | Fixed-Effects Panel Least-Squares Estimation of the Determinants of Capital Inflows (Emerging Market Economies, Full Sample) | |
| 3.7 | Fixed-Effects Panel Least-Squares Estimation of the Determinants of Capital Inflows (All Countries, 1998-2006) | |
| 3.8 | Fixed-Effects Panel Least-Squares Estimation of the Determinants of Capital Inflows (Emerging Market Economies, 1998-2006) | |
| Figures | ||
| 1.1 | Global Financial Stability Map | |
| 1.2 | Selected Asset Class Returns | |
| 1.3 | U.S. High-Yield Corporate Bonds Spreads Index | |
| 1.4 | Probability of Multiple Defaults in Select Scenarios | |
| 1.5 | Gross Debt Issuance by Sector | |
| 1.6 | Nonprime 60-Day Delinquencies by Mortgage Vintage Year | |
| 1.7 | Monthly Mortgage Rate Resets | |
| 1.8 | Rising Number of Downgrades of Mortgage-Related Products | |
| 1.9 | Representative Spreads of Mortgage-Backed ABS and CDOs | |
| 1.10 | Mortgage Market Flows and Risk Exposure | |
| 1.11 | Buyers of ABS CDOs | |
| 1.12 | U.S. CDO Outstanding Volume | |
| 1.13 | Number of Covenant-Lite Loans to Total Number of Institutional Term Loans | |
| 1.14 | Major Bank Exposures to Leveraged Buyout Pipeline | |
| 1.15 | Interest Coverage Statistics on Private Equity | |
| 1.16 | U.S. Money Market Interest Rates | |
| 1.17 | Emerging Market Private Loan Placements | |
| 1.18 | Growth in External Funding of Banks and Private Sector Credit in 2006 | |
| 1.19 | Correlation of Credit Growth with Growth in Foreign Financing of Banks, 2004-06 | |
| 1.20 | Emerging Asia: Short-Term Foreign-Currency-Denominated Borrowing | |
| 1.21 | Korea: Foreign-Currency-Denominated Loans of Commercial, Special, and Foreign Banks | |
| 1.22 | Price/Earnings Ratios | |
| 1.23 | Correlation of Emerging and Mature Market Equities | |
| 1.24 | Net Flows in Emerging Market Equities, May-June 2006 | |
| 1.25 | Emerging Market Hedge Fund Allocations | |
| 1.26 | Global Financial Stability Map: Monetary and Financial Conditions | |
| 1.27 | Global Financial Stability Map: Risk Appetite | |
| 1.28 | Global Financial Stability Map: Macroeconomic Risks | |
| 1.29 | Global Financial Stability Map: Emerging Market Risks | |
| 1.30 | Global Financial Stability Map: Credit Risks | |
| 1.31 | Global Financial Stability Map: Market and Liquidity Risks | |
| 2.1 | Implied Volatility Indices | |
| 2.2 | Backtesting Results: Broad Portfolio, October 1997 to October 1998 | |
| 2.3 | Backtesting Results: Broad Portfolio, June 2006 to June 2007 | |
| 2.4 | VaR in an Era of Declining Volatilities | |
| 2.5 | VaR Measures: Historical Simulation versus EWMA | |
| 2.6 | Asian Crisis: Stressed VaR Estimates at the 99 Percent Confidence Level | |
| 2.7 | August 1998: VaR Estimates at the 99 Percent Confidence Level | |
| 2.8 | Long-Term Capital Management Scenario: EWMA versus Historical Simulation, March 2007 | |
| 2.9 | Asset Price Dynamics Under Alternative Model Specifications | |
| 2.10 | Selected Asset Volatilities Under the Interactive Model | |
| 3.1 | Total Capital Inflows | |
| 3.2 | Composition of Capital Inflows | |
| 3.3 | Market Infrastructure and Volatility of Total Capital Inflows | |
|
On this site, the term "country" does not in all cases refer to a territorial entity that is a state as understood by international law and practice. As used here, the term also covers some territorial entities that are not states. Dependent territories of member countries are listed alphabetically followed by a description of the constitutional relationships with their member countries. |