IMF全球金融稳定报告 英文版 Global Financial Stability Report


文件名：Global Financial Stability Report（2010年10月）
机构：IMF
格式：pdf
页码：148


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Prefacevii

Executive Summaryix

Chapter 1.Economic Uncertainty, Sovereign Risk, and Financial Fragilities1
A. What Is the Outlook for Global Financial Stability?1
B. Sovereign Risks and Financial Fragilities4
C. Sovereign and Banking System Spillovers13
D. Managing Risks to Emerging Markets25
E. Policy Priorities32
Annex 1.1. Impact of Adverse Growth Shock on Advanced Economy Debt Ratios40
Annex 1.2. Systemic Contingent Claims Analysis of Banking and Sovereign Risk41
Annex 1.3. Analyzing Portfolio Inlows to Emerging and Selected Advanced Markets45
Annex 1.4. Asia’s Local Currency Corporate Bond Market—A New Spare Tire50
Annex 1.5. Where Now for Fannie and Freddie? A Review of the Options52
References53

Chapter 2.Systemic Liquidity Risk: Improving the Resilience of Institutions and Markets 57
Summary57
Review of the Systemic Liquidity Shock through Various Short-Term Funding Markets59
Funding Markets as Propagation Channels of Systemic Liquidity Risk64
Policies to Strengthen the Resilience of Funding Markets70
Policies to Strengthen Prudential Liquidity Regulations for Institutions76
Outstanding Policy Issues in Addressing Systemic Liquidity Risk78
Conclusions and Policy Considerations81
References81

Chapter 3.The Uses and Abuses of Sovereign Credit Ratings85
Summary85
Basic Rating Deinitions and Principles88
he Evolving Roles and Regulation of Credit Ratings and Credit Rating Agencies 91
Fundamental Sovereign Credit Risk Analysis98
he Accuracy and Informational Value of Sovereign Ratings103
Conclusions and Policy Implications111
Annex 3.1. Credit Rating Agencies around the World118
References119

Glossary 123

Annex: Summing Up by the Acting Chair131

Statistical Appendix
[Available online at www.imf.org/external/pubs/ft/gfsr/2010/02/pdf/statappx.pdf]

Boxes
1.1. Japan: Risk of Sovereign Interest Rate Shock11
1.2. Risk Transmission between Sovereigns and Banks in Europe12
1.3. Risks of a Double Dip in the U.S. Real Estate Markets21
1.4. China’s Banking System: Managing Challenges after Credit Expansion30
1.5. Brazil’s Tax on Capital Inlows, 2009–1033
1.6. Key Findings of the U.S. Financial Sector Assessment Program37
1.7. Macroeconomic Costs of Regulatory Measures38
1.8. Calibrating a Sovereign Risk-Adjusted Contingent Claims Analysis Balance Sheet45
2.1. Role of Money Markets60
2.2. Disruptions to Cross-Border Funding and Foreign Exchange Swaps62
2.3. he Repo Markets: A Primer71
2.4. What Went Wrong in Financial Firms’ Liquidity Risk Management Practices?72
2.5. Repo Infrastructure: Trading, Clearing, and Settlement73
3.1. he Global Credit Rating Agency Landscape87
3.2. Spillover Efects of Sovereign Rating Downgrades88
3.3. Developments in the Regulation of Credit Rating Agencies95
3.4. An Overview of the Factors Inluencing Sovereign Credit Ratings100
3.5. Empirical Studies of Rating Determinants104
3.6. Greece: An Examination of the Evolution of Rating Actions106
3.7. Empirical Tests of Rating Information Value114
3.8. Point-in-Time versus hrough-the-Cycle Credit Ratings116

Tables
1.1. Sovereign Market and Vulnerability Indicators6
1.2. Low-Growth Shock:Impact Analysis and Rating41
2.1. Typical Haircut on Term Securities Financing Transactions65
3.1. Long-Term Senior Debt Rating Symbols90
3.2. Rating Agency Statements on What heir Ratings Are Designed to Measure91
3.3. Key Factors in Sovereign Credit Rating Assessments99
3.4. Sovereign Rating “Failures” during the 1997–98 Asian Crisis113
3.5. Sovereign Rating “Failures” during the 2007–10 Crisis113

Figures
1.1. Global Financial Stability Map1
1.2. Global Financial Stability Map: Assessment of Risks and Conditions 2
1.3. Markets Heat Map3
1.4. Short-Term Uncertainty Has Fallen, but Uncertainty Remains High in the Medium Term4
1.5. Spillovers from the Sovereign to the Banks and Banks to Sovereigns4
1.6. Ten-Year Sovereign Swap Spreads5
1.7. Impact of a –1 Percent Growth Shock from World Economic Outlook Baseline, 2010–158
1.8. Sovereign Gross Funding Requirements8
1.9. Custodial Bond Flows, 2007–June 20109
1.10. Exports and Fiscal Balance9
1.11. Developments in Sovereign Credit Default Swap Spreads10
1.12. Bank Writedowns or Loss Provisions by Region13
1.13. Capital Raised by Banks and Tier 1 Ratios13
1.14. Banking Sector Credit Default Swap Spreads14
1.15. U.S. Dollar hree-Month Forward—Overnight Index Swap Spreads and Basis Swaps14
1.16. Bank Debt Maturity Proile15
1.17. Bank Debt Maturing as a Percentage of Total Outstanding15
1.18. Euro Area: Bank Cumulative Net Issuance15
1.19. Reliance on Wholesale Funding16
1.20. European Central Bank Lending to Euro Area Monetary Financial Institutions16
1.21. Mature Market Credit Default Swap Spreads17
1.22a. Lending Conditions19
1.22b.Bank Lending to Private Sector19
1.23. Bank for International Settlements Cross-Border Bank Flows by Region19
1.24. Bank for International Settlements Cumulative Cross-Border Bank Flows by Country20
1.25. Cross-Border Bank Flows and Local Credit20
1.26. Emerging and Advanced Economies, Equity Returns25
1.27a. Sovereign Ratings25
1.27b.Government Debt and Growth Diferential26
1.28. Cumulative Net Foreign Flows to Emerging Market Bond and Equity Funds26
1.29a. Emerging Market Equities Market Capitalization and Investor Allocations27
1.29b.Portfolio Flows to Emerging Markets and Developing Countries27
1.30. Equity and Debt Portfolio Inlows28
1.31. Nominal Efective Exchange Rate Performance28
1.32. Change in Oicial Reserves29
1.33. Sensitivity of Money Supply to Central Bank Foreign Assets29
1.34. Public Debt, Advanced Economies: Impact of Adverse Growth Shock40
1.35. Brazilian and Korean Securities Flows46
SM
1.36. Correlation between Bank of New York Mellon iFlow
and Balance of Payments Flows47
SM
1.37. Cumulative Bank of New York Mellon iFlow
Inlows to Advanced and
Emerging and Other Economies47
SM
1.38. Cumulative Bank of New York Mellon iFlow
Inlows to Emerging and
Other Economies, by Region48
1.39. Variance Ratios of Equity Flows to Selected Markets48
1.40. Impulse Response Functions49
1.41. Outstanding Local Currency Corporate Bonds50
1.42. Local Currency Government and Corporate Bond Issuance50
1.43. Spread between Prime Rate and Corporate Bond Yield Index51
2.1. U.S. Private-Label Term Securitization Issuance by Type59
2.2. United States: Outstanding Amount of Commercial Paper59
2.3. Bank Bond Issuance61
2.4. Aggregate Bank Credit Default Swap Rate and Selected Spreads61
2.5. U.S. Dollar Currency Spread Implied by hree-Month Forex Swap Contracts63
2.6. Selected Indicators of Short-Term Funding Rates64
2.7. Share of Average Daily Turnover of Secured and Unsecured Lending and
Borrowing for Euro Area Banks64
2.8. Outstanding Amounts of Private Market Repo Operations66
2.9. Central Bank Temporary Reserve-Providing Operations66
2.10. Commercial Bank Funding Structure67
2.11. United States: Funding Structure of Selected Largest Commercial and Investment Banks68
2.12. Bank Deposits versus Money Market Mutual Funds69
3.1. Ratings of AAA-Rated U.S. Mortgage-Related Securities89
3.2. Sovereign Rating Changes and Warnings102
3.3. Moody’s Sovereign Rating Changes and Warnings by Selected Regions,
May 2007–June 2010102
3.4. Rating Drivers, May 2007–June 2010103
3.5. Average Credit Default Swap Spread and Ratings for Countries Rated by Moody’s, 2005–10108
3.6. Impact of Change in Sovereign Ratings and Credit Warnings on Credit
Default Swap Spread109
3.7. Ratings One Year Prior to Sovereign Default, 1975–2009109
3.8. Sovereign Rating Performance by Standard & Poor’s110
3.9. Average Proportion of S&P Sovereign Ratings Unchanged over One Year111
3.10. Average Proportion of S&P Sovereign Ratings Downgraded More han Two Notches
over One Year111
3.11. Asian Crisis: Sovereigns Rated by Moody’s between July 31, 1997 and December 31, 1998112
3.12. Current Crisis: Sovereigns Rated by Moody’s between July 31, 2007 and June 30, 2010112

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