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CONTENTS
Preface viii
Executive Summary ix
Chapter 1. Assessing Risks to Global Financial Stability
Global Financial Stability Map
The Default Cycle
Financial System Deleveraging
Systemic Implications
Emerging Market Resilience Is Being Tested
Financial Stability Policies
Annex 1.1. Global Financial Stability Map: Construction and Methodology
Annex 1.2. Financial Investment in Commodities Markets
Annex 1.3. Loss Estimates on U.S. Credit Instruments
Annex 1.4. Factors Influencing the Pace and Level of Bank Capital Rebuilding
References
Chapter 2. Stress in Bank Funding Markets and Implications for Monetary Policy 69
The Microstructure of Bank Funding Markets 70
The Causes of Elevated Interbank Spreads 74
Implications for the Interest Rate Transmission Mechanism of Monetary Policy 81
Policy Recommendations 92
Conclusions 96
Annex 2.1. Empirical Framework: The Causes of High Interbank Spreads 96
Annex 2.2. Empirical Framework: Monetary Transmission 99
References 101
Chapter 3. Fair Value Accounting and Procyclicality 105
Fair Value Accounting Through the Business Cycle 106
Modeling Fair Value Accounting Through the Business Cycle Using Simulations 113
Conclusions and Policy Recommendations 123
Annex 3.1. Data and Modeling Assumptions 127
References 129
Chapter 4. Spillovers to Emerging Equity Markets 131
Performance of Emerging Market Equity Markets 132
Cross-Country Equity Price Correlations 134
Determinants of Emerging Market Equity Prices 136
Spillovers and Their Impact 140
The Role of Local Institutional Investors 141
Key Results and Conclusions 141
Annex 4.1. Panel Estimation Specification and Results 148
Annex 4.2. Vector Autoregression Model Results 151
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