本帖隐藏的内容

Preface  vii

Executive Summary  ix

Chapter 1.Economic Uncertainty, Sovereign Risk, and Financial Fragilities  1
    A. What Is the Outlook for Global Financial Stability?  1
    B. Sovereign Risks and Financial Fragilities  4
    C. Sovereign and Banking System Spillovers  13
    D. Managing Risks to Emerging Markets  25
    E. Policy Priorities  32
    Annex 1.1. Impact of Adverse Growth Shock on Advanced Economy Debt Ratios  40
    Annex 1.2. Systemic Contingent Claims Analysis of Banking and Sovereign Risk  41
    Annex 1.3. Analyzing Portfolio Inlows to Emerging and Selected Advanced Markets  45
    Annex 1.4. Asia’s Local Currency Corporate Bond Market—A New Spare Tire  50
    Annex 1.5. Where Now for Fannie and Freddie? A Review of the Options  52
   References  53

Chapter 2.Systemic Liquidity Risk: Improving the Resilience of Institutions and Markets 57
   Summary  57
    Review of the Systemic Liquidity Shock through Various Short-Term Funding Markets  59
    Funding Markets as Propagation Channels of Systemic Liquidity Risk  64
    Policies to Strengthen the Resilience of Funding Markets  70
    Policies to Strengthen Prudential Liquidity Regulations for Institutions  76
    Outstanding Policy Issues in Addressing Systemic Liquidity Risk  78
    Conclusions and Policy Considerations  81
   References  81

Chapter 3.The Uses and Abuses of Sovereign Credit Ratings  85
   Summary  85
    Basic Rating Deinitions and Principles  88
    he Evolving Roles and Regulation of Credit Ratings and Credit Rating Agencies   91  
    Fundamental Sovereign Credit Risk Analysis  98
    he Accuracy and Informational Value of Sovereign Ratings  103
    Conclusions and Policy Implications  111
    Annex 3.1. Credit Rating Agencies around the World  118
   References  119

Glossary   123

Annex: Summing Up by the Acting Chair  131

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 Shock  11
1.2. Risk Transmission between Sovereigns and Banks in Europe  12
1.3. Risks of a Double Dip in the U.S. Real Estate Markets  21
1.4. China’s Banking System: Managing Challenges after Credit Expansion  30
1.5. Brazil’s Tax on Capital Inlows, 2009–10  33
1.6. Key Findings of the U.S. Financial Sector Assessment Program  37
1.7. Macroeconomic Costs of Regulatory Measures  38
1.8. Calibrating a Sovereign Risk-Adjusted Contingent Claims Analysis Balance Sheet  45
2.1. Role of Money Markets  60
2.2. Disruptions to Cross-Border Funding and Foreign Exchange Swaps  62
2.3. he Repo Markets: A Primer  71
2.4. What Went Wrong in Financial Firms’ Liquidity Risk Management Practices?  72
2.5. Repo Infrastructure: Trading, Clearing, and Settlement  73
3.1. he Global Credit Rating Agency Landscape  87
3.2. Spillover Efects of Sovereign Rating Downgrades  88
3.3. Developments in the Regulation of Credit Rating Agencies  95
3.4. An Overview of the Factors Inluencing Sovereign Credit Ratings  100
3.5. Empirical Studies of Rating Determinants  104
3.6. Greece: An Examination of the Evolution of Rating Actions  106
3.7. Empirical Tests of Rating Information Value  114
3.8. Point-in-Time versus hrough-the-Cycle Credit Ratings  116

Tables
1.1. Sovereign Market and Vulnerability Indicators  6
1.2. Low-Growth Shock:  Impact Analysis and Rating  41
2.1. Typical Haircut on Term Securities Financing Transactions  65
3.1. Long-Term Senior Debt Rating Symbols  90
3.2. Rating Agency Statements on What heir Ratings Are Designed to Measure  91
3.3. Key Factors in Sovereign Credit Rating Assessments  99
3.4. Sovereign Rating “Failures” during the 1997–98 Asian Crisis  113
3.5. Sovereign Rating “Failures” during the 2007–10 Crisis  113

Figures
1.1. Global Financial Stability Map  1
1.2. Global Financial Stability Map: Assessment of Risks and Conditions   2
1.3. Markets Heat Map  3
1.4. Short-Term Uncertainty Has Fallen, but Uncertainty Remains High in the Medium Term  4
1.5. Spillovers from the Sovereign to the Banks and Banks to Sovereigns  4
1.6. Ten-Year Sovereign Swap Spreads  5
1.7. Impact of a –1 Percent Growth Shock from World Economic Outlook Baseline, 2010–15  8
1.8. Sovereign Gross Funding Requirements  8
1.9. Custodial Bond Flows, 2007–June 2010  9
1.10. Exports and Fiscal Balance  9
1.11. Developments in Sovereign Credit Default Swap Spreads  10
1.12. Bank Writedowns or Loss Provisions by Region  13
1.13. Capital Raised by Banks and Tier 1 Ratios  13
1.14. Banking Sector Credit Default Swap Spreads  14
1.15. U.S. Dollar hree-Month Forward—Overnight Index Swap Spreads and Basis Swaps  14
1.16. Bank Debt Maturity Proile  15
1.17. Bank Debt Maturing as a Percentage of Total Outstanding  15
1.18. Euro Area: Bank Cumulative Net Issuance  15
1.19. Reliance on Wholesale Funding  16
1.20. European Central Bank Lending to Euro Area Monetary Financial Institutions  16
1.21. Mature Market Credit Default Swap Spreads  17
1.22a. Lending Conditions  19
1.22b.  Bank Lending to Private Sector  19
1.23. Bank for International Settlements Cross-Border Bank Flows by Region  19
1.24. Bank for International Settlements Cumulative Cross-Border Bank Flows by Country  20
1.25. Cross-Border Bank Flows and Local Credit  20
1.26. Emerging and Advanced Economies, Equity Returns  25
1.27a. Sovereign Ratings  25
1.27b.  Government Debt and Growth Diferential  26
1.28. Cumulative Net Foreign Flows to Emerging Market Bond and Equity Funds  26
1.29a. Emerging Market Equities Market Capitalization and Investor Allocations  27
1.29b.  Portfolio Flows to Emerging Markets and Developing Countries  27
1.30. Equity and Debt Portfolio Inlows  28
1.31. Nominal Efective Exchange Rate Performance  28
1.32. Change in Oicial Reserves  29
1.33. Sensitivity of Money Supply to Central Bank Foreign Assets  29
1.34. Public Debt, Advanced Economies: Impact of Adverse Growth Shock  40
1.35. Brazilian and Korean Securities Flows  46
SM
1.36. Correlation between Bank of New York Mellon iFlow
and Balance of Payments Flows  47
SM
1.37. Cumulative Bank of New York Mellon iFlow
Inlows to Advanced and  
Emerging and Other Economies  47
SM
1.38. Cumulative Bank of New York Mellon iFlow
Inlows to Emerging and  
Other Economies, by Region  48
1.39. Variance Ratios of Equity Flows to Selected Markets  48
1.40. Impulse Response Functions  49
1.41. Outstanding Local Currency Corporate Bonds  50
1.42. Local Currency Government and Corporate Bond Issuance  50
1.43. Spread between Prime Rate and Corporate Bond Yield Index  51
  2.1. U.S. Private-Label Term Securitization Issuance by Type  59
  2.2. United States: Outstanding Amount of Commercial Paper  59
  2.3. Bank Bond Issuance  61
  2.4. Aggregate Bank Credit Default Swap Rate and Selected Spreads  61
2.5. U.S. Dollar Currency Spread Implied by hree-Month Forex Swap Contracts  63
2.6. Selected Indicators of Short-Term Funding Rates  64
2.7. Share of Average Daily Turnover of Secured and Unsecured Lending and  
Borrowing for Euro Area Banks  64
2.8. Outstanding Amounts of Private Market Repo Operations  66
2.9. Central Bank Temporary Reserve-Providing Operations  66
2.10. Commercial Bank Funding Structure  67
2.11. United States: Funding Structure of Selected Largest Commercial and Investment Banks  68
2.12. Bank Deposits versus Money Market Mutual Funds  69
3.1. Ratings of AAA-Rated U.S. Mortgage-Related Securities  89
3.2. Sovereign Rating Changes and Warnings  102
3.3. Moody’s Sovereign Rating Changes and Warnings by Selected Regions,  
May 2007–June 2010  102
3.4. Rating Drivers, May 2007–June 2010  103
3.5. Average Credit Default Swap Spread and Ratings for Countries Rated by Moody’s, 2005–10  108
3.6. Impact of Change in Sovereign Ratings and Credit Warnings on Credit  
Default Swap Spread  109
3.7. Ratings One Year Prior to Sovereign Default, 1975–2009  109
3.8. Sovereign Rating Performance by Standard & Poor’s  110
3.9. Average Proportion of S&P Sovereign Ratings Unchanged over One Year  111
3.10. Average Proportion of S&P Sovereign Ratings Downgraded More han Two Notches  
over One Year  111
3.11. Asian Crisis: Sovereigns Rated by Moody’s between July 31, 1997 and December 31, 1998  112
3.12. Current Crisis: Sovereigns Rated by Moody’s between July 31, 2007 and June 30, 2010  112