Globalisation and central bank policies

Transcription

1 Globalisation and central bank policies Lucas Papademos European Central Bank Bridge Forum Dialogue 22 January 28, Luxembourg 1

2 Chart 1: Oil and other commodity prices Brent crude oil price (USD per barrel) 1 Oil price (Brent) 9 45 Precious metal prices (Indices, Jan 1999 = 1) gold silver platinum Source: Bloomberg Note: Last observation refers to 21 January 28 Source: Bloomberg 2

3 Chart 2: China s net oil imports and Brent oil price China: net oil imports Brent oil price Oct-97 Jul-98 Apr-99 Jan- Oct- Jul-1 Apr-2 Jan-3 Oct-3 Jul-4 Apr-5 Jan-6 Oct-6 Jul-7 Note: China's net oil imports left-hand scale, monthly data, millions of tons. Brent oil price: right-hand scale, US dollars per barrel.monthly averages. Latest observation December 27. Source: CEIC 3

4 Chart 3: Consumer prices and import prices in the euro area: dynamics and trends 17 Euro Area import unit value indices (Monthly data; Indices 23=1) Energy commodities Non-energy commodities Manufacturing HICP Overall Jan- Jan-1 Jan-2 Jan-3 Jan-4 Jan-5 Jan-6 Jan-7 Source: Eurostat, OECD Note: Latest observation refers to October 27 4

5 Chart 4: Euro area HICP inflation and components (Annual Percentage change) Energy HICP excluding energy, food, and tobacco HICP Source: Eurostat Note: Latest observation refers to October 27 5

6 Chart 5: Sum of foreign assets and liabilities as a percentage of GDP 35% Industrial countries 3% Developing countries and emerging markets 25% 2% 15% 1% 5% % Source: Lane P. and Milesi-Ferretti G., 26, The External Wealth of Nations Mark II: Revised and Extended Estimates of Foreign Assets and Liabilities, , CEPR Discussion Paper, No

7 Chart 6: Sum of external assets and liabilities as a percentage of sum of exports and imports 1% Industrial countries 8% Developing countries and emerging markets 6% 4% 2% % Source: Lane P. and Milesi-Ferretti G., 26, The External Wealth of Nations Mark II: Revised and Extended Estimates of Foreign Assets and Liabilities, , CEPR Discussion Paper, No

8 Chart 7: International Bank claims (USD billion) External Assets (ex. off shore centers) External Liabilities (ex. off shore centers) External Assets External Liabilities Source: Bank for International Settlements (BIS) 8

9 Chart 8: Size of Capital Markets as a percentage of GDP 3% 25% Size Linear trend fitted on size 2% 15% 1% 5% % Source: Ferguson et al., 27, p..2 Data Sources: BIS, IMF, World Federation of Exchanges, ECB, Datastream 9

10 Chart 9: Securitisation in the US and Europe Outstanding Volume of US Agency MBS (USD billion) Source: Securities Industry and Financial Markets Association (SIFMA) Securitisation issuance in the US (USD billion) Securitisation issuance in Europe (Euro billion) ABS MBS 6 5 ABS MBS (Including Pfandbriefe) Source: Securities Industry and Financial Markets Association (SIFMA) Source: European Securitisation Forum 1

11 Chart 1: Global Credit Default Swaps and Collateralised Debt Obligations Nominal Value of global CDS (USD trillion) Global issuance of CDOs (USD billion) Credit Default Swaps 6 12% Share of Credit Default Swaps in % of total derivatives (left-hand scale) 4 5 Funded CDOs 1% % % 2 4% % 5 1 % Source: Ferguson et al., 27, p. 111 Data Source: ISDA Data Source: Securities Industry and Financial Markets Association (SIFMA) 11

12 Chart 11: Market volatility indicators Average daily change over last month 6 Dow Jones EURO STOXX 5 Euro high yield bond, yield to maturity Source: ECB Financial Stability Review (December 27) 12

13 Chart 12: Risk aversion indicator Source: ECB Financial Stability Review (December 27) 13

14 Chart 13: Corporate bond yield spreads Spreads of euro area high-yield corporate bonds JP Morgan euro high yield 5 year government bonds Spread comparison US and euro area euro area US Source: ECB Financial Stability Review (December 27) 14

15 Chart 14: Financial market liquidity indicators up to June euro area UK Source: ECB Financial Stability Review (June 27) and Bank of England Financial Stability Report (27) 15

16 Chart 15: Value indices of asset-backed securities or mortgage-backed securities (different vintages and ratings) AAA 27-1 AAA 27-1 AA 26-2 BBB BBB- 1 Jan-7 Mar-7 May-7 Jul-7 Sep-7 Nov-7 Jan-8 Source: ECB Financial Stability Review (December 27) 16

17 Chart 16: Collapse of market liquidity: euro area liquidity indicator as of July Jul 27 Sep 27 Nov 27 Jan 28 Source: ECB 17

18 Chart 17: Money market spreads 3-Month Spreads EUR, GBP and USD up to and including 21 January Month deposit-ois spreads (bps) EUR GBP USD 21Jul 21Aug 21Sep 21Oct 21Nov 21Dec 21Jan Month Euribor-Eonia swap spread (bps) s pread EUR Euribor Eonia s wap 21Jul 21Aug 21Sep 21Oct 21Nov 21Dec 21Jan Source: ECB 18

19 Thank you. 19