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Global Financial Stability Report, October 2015 : Vulnerabilities, Legacies, and Policy Challenges - Risks Rotating to Emerging Markets. için kapak resmi
Başlık:
Global Financial Stability Report, October 2015 : Vulnerabilities, Legacies, and Policy Challenges - Risks Rotating to Emerging Markets.
Yazar:
International Monetary Fund.
ISBN:
9781513582047
Fiziksel Tanımlama:
114 pages ; 28 cm.
Seri:
Global Financial Stability Report.
İçerik:
CONTENTS Assumptions and Conventions vii Further Information and Data vii Preface viii Executive Summary ix IMF Executive Board Discussion Summary xiii Chapter 1 Three Scenarios for Financial Stability 1 Financial Stability Overview 1 Global Policy Challenges 8 Box 1.1. China’s Equity Market 18 Box 1.2. Compression of Global Risk Premiums and Market Abnormalities 25 Policies for Successful Normalization 31 Box 1.3. Banking in Europe: The Impact of Nonperforming Loans 34 Annex 1.1. Progress on the Financial Regulatory Reform Agenda 38 Annex 1.2. Simulating the Global Macrofinancial Scenarios 39 References 47 Chapter 2 Market Liquidity—Resilient or Fleeting? 49 Summary 49 Introduction 50 Box 2.1. How Can Market Liquidity Be Low despite Abundant Central Bank Liquidity? 51 Market Liquidity—Concepts and Drivers 53 Market Liquidity—Trends 56 Box 2.2. Electronic Trading and Market Liquidity 57 Changes in Drivers of Market Liquidity—Empirical Evidence on Their Impact 58 Box 2.3. Structural Drivers of the Resilience of Market Liquidity 59 Liquidity Resilience, Liquidity Freezes, and Spillovers 67 Policy Discussion 72 Conclusion 74 Box 2.4. Market Liquidity and Bank Stress Testing 75 Annex 2.1. Data and Liquidity Measures 78 Annex 2.2. Event Studies of Market Liquidity 78 Annex 2.3. Markov Regime-Switching Models for Market Liquidity and the Liquidity Premium 79 References 81 Chapter 3 Corporate Leverage in Emerging Markets—A Concern? 83 Summary 83 Introduction 84 The Evolving Nature of Emerging Market Corporate Leverage 89 Emerging Market Corporate Bond Finance 94 Emerging Market Corporate Spreads 100 Policy Implications 101 iv International Monetary Fund October 2015 GLOBAL FINANCIAL STABILIT Y REPORT: VULNERABILITIES, LEGACIES, AND POLICY CHALLENGES: RISKS ROTATING TO EMERGING MARKETS Box 3.1. Shadow Rates 88 Box 3.2. Corporate Foreign Exchange Rate Exposures 103 Box 3.3. Corporate Leverage in China 103 Box 3.4. Firm Capital Structure, the Business Cycle, and Monetary Policy 105 Box 3.5. The Shift from Bank to Bond Financing of Emerging Market Corporate Debt 106 Box 3.6. Taper Tantrum: Did Firm-Level Factors Matter? 107 Conclusion 107 Annex 3.1. Emerging Market Corporate Leverage: Data and Empirics 108 Annex 3.2. Bond Issuance Analysis 110 Annex 3.3. Regression Analysis of Determinants of Emerging Market Corporate Spreads 111 References 112 Tables 1.1. Three Scenarios for Financial Stability 8 1.2. Why Is Resilient Liquidity Important? 36 Annex 1.2.1. Global Asset Market Disruption Scenario: Assumptions 40 Annex 1.2.2. Successful Normalization Scenario: Assumptions 41 Annex 1.2.3. Global Asset Market Disruption Scenario: Shock Transmission Mechanisms 42 Annex 1.2.4. Successful Normalization Scenario: Shock Transmission Mechanisms 43 2.1. Liquidity Measures 55 2.2. Determinants of Low-Liquidity Regime Probability in the U.S. Corporate Bond Market 70 2.3. Determinants of Low-Liquidity Regime in the Foreign Exchange and European Sovereign Bond Markets 71 2.4. Bond Returns and Liquidity Risk 71 2.5. Summary of Findings and Policy Implications 77 3.1 Worsening Emerging Market Firm-Level and Macroeconomic Fundamentals 91 Annex 3.1.1. Definition of Variables 109 Figures 1.1. Global Financial Stability Map: Risks and Conditions 2 1.2. Global Financial Stability Map: Components of Risks and Conditions 3 1.3. Inflation, Monetary Policy, and Policy Rate Normalization 4 1.4. Economic Risk Taking Remains Weak in Advanced Economies 5 1.5. Locus of Risks Shifting toward Emerging Markets 7 1.6. Triad of Global Policy Challenges 8 1.7. The Credit Cycle 10 1.8. Credit Growth, Corporate Leverage, and New Nonperforming Bank Loans 11 1.9. Emerging Market Companies: Exposure to Dollar Strength and Commodity Prices 12 1.10. Banking System Average Regulatory Tier 1 Ratio 13 1.11. Bank Capital and Asset Changes 13 1.12. Chinese Banks: Asset Quality Challenges 14 1.13. Evolution of Bank Funding 15 1.14. Chinese Exchange Rate Movements and Effect on Emerging Market Currencies 16 1.15. Greece: Developments 17 1.1.1. Chinese Equity Market 19 1.16. Bank Profitability and Balance Sheet Strength 21 1.17. Potential Amplifiers of Market Stress 22 1.18. Large U.S. and European Regulated Bond Investment Funds with Derivatives Embedded Leverage 24 1.2.1. Policies Have Led to Compressed Term Premiums and Market Abnormalities 27 1.19. Systemic Implications of a Liquidity Shock 27 1.20. Effect of a Global Asset Market Disruption 29 Contents International Monetary Fund October 2015 v 1.21. Emerging Market Local Currency Bond Yields 30 1.22. Corporate Debt Burden Market Disruption Scenario 31 1.23. Lower Ratings Would Lock in Higher Borrowing Costs 32 1.24. Selected Quasi-Sovereign Company Ownership and Debt 33 1.3.1. Euro Area Capital Relief from Nonperforming Loans 34 1.3.2. Euro Area Foreclosure Time and Lending Capacity from Foreclosure Time Reduction 35 Annex 1.2.1. Global Asset Market Disruption Scenario: Simulated Peak Effects 44 Annex 1.2.2. Global Asset Market Disruption Scenario: Aggregated Simulated Paths 45 Annex 1.2.3. Successful Normalization Scenario: Aggregated Simulated Paths 46 Annex 1.2.4. Successful Normalization Scenario: Simulated Peak Effects 47 2.1. Drivers of Liquidity and Liquidity Resilience 56 2.2.1. Trade Volume in U.S. Credit Default Swaps 57 2.3.1. Liquidity during the Taper Tantrum 59 2.3.2. Ownership and Market Liquidity 60 2.2. Trends in Bond Markets—Market Liquidity Level 61 2.3. Bond Market Liquidity—Bifurcation and Price Impact of Large Transactions 62 2.4. Trends in Market Making 63 2.5. Dealers’ Balance Sheet Space 64 2.6. Central Bank Collateral Policies 64 2.7. Regulation and Market Liquidity: Two Examples 66 2.8. Fed Purchases and Mortgage-Backed Securities Liquidity 67 2.9. Main Drivers of Market Liquidity 67 2.10. Financial Sector Bond Holdings 68 2.11. Probability of Liquidity Regimes 69 2.12. Liquidity Spillovers and Market Stress 72 2.4.1. Stress Test of the Financial System and the Real Economy 76 3.1. Emerging Market Economies: Evolving Capital Structure 84 3.2. Emerging Market Economies: Selected Leverage Ratios 85 3.3. Emerging Market Economies: Changing Composition of Corporate Debt 86 3.4. Domestic Banks: Ratio of Total Corporate Loans to Total Loans in 2014 87 3.1.1. Shadow Rates 88 3.5. Emerging Market Economies: Corporate Leverage by Selected Regions and Sectors 90 3.6. Foreign Exchange Exposures in Emerging Market Economies (Listed Firms) 92 3.7. Change in Foreign Exchange Exposures and Corporate Leverage, by Sector 93 3.8. Corporate Liabilities and Solvency 94 3.9. Key Determinants of Emerging Market Economies’ Corporate Leverage 94 3.10. Leverage, Cash Holdings, and Corporate Investment 95 3.11. Bond Issuance by Regions and Sectors 96 3.12. Bond Issuance: Currency Composition 97 3.13. Deteriorating Firm-Specific Fundamentals for Bond-Issuing Firms 98 3.14. Bond Issuance: Yields and Maturity 99 3.15. Factors Influencing the Probability of Bond Issuance 99 3.16. Factors Influencing Bond Maturity 100 3.17. Emerging Market Economies: Secondary Market Corporate Spreads 101 3.18. Emerging Market Economies: Effects of Domestic and Global Factors on Corporate Spreads 102 3.3.1. China: Leverage Ratios 103 3.5.1. Changes in the Stock of Bonds by Initial Quartile 106 3.6.1. Effects of the Shock on Credit Default Swap Spreads 107.
Özet:
The October 2015 Global Financial Stability Report finds that, despite an improvement in financial stability in advanced economies, risks continue to rotate toward emerging markets. The global financial outlook is clouded by a triad of policy challenges: emerging market vulnerabilities, legacy issues from the crisis in advanced economies, and weak systemic market liquidity. With more vulnerable balance sheets in emerging market companies and banks, firms in these countries are more susceptible to financial stress, economic downturn, and capital outflows. Recent market developments such as slumping commodity prices, China's bursting equity bubble, and pressure on exchange rates underscore these challenges. The prospect of the U.S. Federal Reserve gradually raising interest rates points to an unprecedented adjustment in the global financial system as financial conditions and risk premiums 'normalize' from historically low levels alongside rising policy rates and a modest cyclical recovery. The report also examines the factors that influence levels of liquidity in securities markets, as well as the implications of low liquidity. Currently, market liquidity is being supported by benign cyclical conditions. Although it is too early to assess the impact of recent regulatory changes on market liquidity, changes in market structure, such as larger holdings of corporate bonds by mutual funds, appear to have increased the fragility of liquidity. Finally, the report studies the growing level of corporate debt in emerging markets, which quadrupled between 2004 and 2014. The report finds that global drivers have played an increasing role in leverage growth, issuance, and spreads. Moreover, higher leverage has been associated with, on average, rising foreign currency exposures. It also finds that despite weaker balance sheets, firms have managed to issue bonds at better terms as a result of favorable financial conditions. The October 2015 Global Financial Stability Report finds that risks continue to rotate toward emerging markets.
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