This statistical appendix presents data
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1 This statistical appendix presents data on financial developments in key financial centers and emerging markets. It is designed to complement the analysis in the text by providing additional data that describe key aspects of financial market developments. These data are derived from a number of sources external to the IMF, including banks, commercial data providers, and official sources, and are presented for information purposes only; the IMF does not, however, guarantee the accuracy of the data from external sources. Presenting financial market data in one location and in a fixed set of tables and charts, in this and future issues of the GFSR, is intended to give the reader an overview of developments in global financial markets. Unless otherwise noted, the statistical appendix reflects information available up to February 16, 25. Mirroring the structure of the chapters of the report, the appendix presents data separately for key financial centers and emerging market countries. Specifically, it is organized into three sections: Figures 1 14 and Tables 1 9 contain information on market developments in key financial centers. This includes data on global capital flows, and on markets for foreign exchange, bonds, equities, and derivatives, as well as sectoral balance sheet data for the United States, Japan, and Europe. Figures 15 and 16, and Tables 1 21 present information on financial developments in emerging markets, including data on equity, foreign exchange, and bond markets, as well as data on emerging market financing flows. Tables report key financial soundness indicators for selected countries, including bank profitability, asset quality, and capital adequacy. 145
2 List of Tables and Figures Key Financial Centers Figures 1. Global Capital Flows: Sources and Uses of Global Capital in Exchange Rates: Selected Major Industrial Countries United States: Yields on Corporate and Treasury Bonds Selected Spreads Nonfinancial Corporate Credit Spreads Equity Markets: Price Indexes Implied and Historical Volatility in Equity Markets Historical Volatility of Government Bond Yields and Bond Returns for Selected Countries Twelve-Month Forward Price/Earnings Ratios Flows into U.S.-Based Equity Funds United States: Corporate Bond Market Europe: Corporate Bond Market United States: Commercial Paper Market United States: Asset-Backed Securities 159 Tables 1. Global Capital Flows: Inflows and Outflows Global Capital Flows: Amounts Outstanding and Net Issues of International Debt Securities by Currency of Issue and Announced International Syndicated Credit Facilities by Nationality of Borrower Selected Indicators on the Size of the Capital Markets, Global Over-the-Counter Derivatives Markets: Notional Amounts and Gross Market Values of Outstanding Contracts Global Over-the-Counter Derivatives Markets: Notional Amounts and Gross Market Values of Outstanding Contracts by Counterparty, Remaining Maturity, and Currency Exchange-Traded Derivative Financial Instruments: Notional Principal Amounts Outstanding and Annual Turnover United States: Sectoral Balance Sheets Japan: Sectoral Balance Sheets Europe: Sectoral Balance Sheets 17 Emerging Markets Figures 15. Emerging Market Volatility Measures Emerging Market Debt Cross-Correlation Measures 172 Tables 1. Equity Market Indices Foreign Exchange Rates Emerging Market Bond Index: EMBI Global Total Returns Index Emerging Market Bond Index: EMBI Global Yield Spreads Total Emerging Market Financing Emerging Market Bond Issuance Emerging Market Equity Issuance Emerging Market Loan Syndication Equity Valuation Measures: Dividend-Yield Ratios Equity Valuation Measures: Price-to-Book Ratios Equity Valuation Measures: Price-Earnings Ratios United States: Mutual Fund Flows 191 Financial Soundness Indicators 22. Bank Regulatory Capital to Risk-Weighted Assets Bank Capital to Assets Bank Nonperforming Loans to Total Loans Bank Provisions to Nonperforming Loans Bank Return on Assets Bank Return on Equity Moody s Weighted Average Bank Financial Strength Index
3 KEY FINANCIAL CENTERS Figure 1. Global Capital Flows: Sources and Uses of Global Capital in 23 Countries That Export Capital 1 Other countries % Japan 2.5% Netherlands 2.3% Germany 7.8% Canada 2.6% Hong Kong SAR 2.6% Sweden 2.9% China 6.9% Singapore 4.2% Norway 4.3% Saudi Arabia 4.4% Taiwan Province of China 4.5% Russia 5.3% Switzerland 6.4% Countries That Import Capital 3 Other countries % United States 71.5% Mexico 1.2% Greece 1.4% Italy 3.% Spain 3.2% Australia 4.1% United Kingdom 4.1% Source: International Monetary Fund, World Economic Outlook database as of March 11, As measured by countries current account surplus (assuming errors and omissions are part of the capital and financial accounts). 2 Other countries include all countries with shares of total surplus less than 2.3 percent. 3 As measured by countries current account deficit (assuming errors and omissions are part of the capital and financial accounts). 4 Other countries include all countries with shares of total deficit less than 1.2 percent. 147
4 Figure 2. Exchange Rates: Selected Major Industrial Countries Bilateral exchange rate (left scale) 1 Nominal effective exchange rate (right scale) 2 United States Japan Euro Area United Kingdom Switzerland Sources: Bloomberg L.P.; and the IMF Competitive Indicators System. Note: In each panel, the effective and bilateral exchange rates are scaled so that an upward movement implies an appreciation of the respective local currency. 1 Local currency units per U.S. dollar except for the euro area and the United Kingdom, for which data are shown as U.S. dollars per local currency = 1; constructed using trade weights. 148
5 KEY FINANCIAL CENTERS Figure 3. United States: Yields on Corporate and Treasury Bonds (Weekly data) Yields (In percent) Baa Merrill Lynch high-yield bond index year treasury bond 4 Aaa Yield Differentials with 1-Year U.S. Treasury Bond (In basis points) Merrill Lynch high-yield bond index Baa 4 2 Aaa Sources: Bloomberg L.P.; and Merrill Lynch. 149
6 Figure 4. Selected Spreads (In basis points) Corporate Spreads Merrill Lynch high-yield bond index 6 Baa Repo Spread2 Commercial Paper Spread 3 Aaa TED Spread 4 Swap Spreads 5 United States Euro area Japan Sources: Bloomberg L.P.; and Merrill Lynch. 1 Spread over 1-year U.S. treasury bond; weekly data. 2 Spread between yields on three-month U.S. treasury repo and on three-month U.S. treasury bill. 3 Spread between yields on 9-day investment-grade commercial paper and on three-month U.S. treasury bill. 4 Spread between three-month U.S. dollar LIBOR and yield on three-month U.S. treasury bill. 5 Spread over 1-year government bond. 15
7 KEY FINANCIAL CENTERS Figure 5. Nonfinancial Corporate Credit Spreads (In basis points) AA rated 12 United States Euro area A rated Japan United States Euro area Japan BBB rated United States 2 Euro area 15 1 Japan Source: Merrill Lynch. 151
8 Figure 6. Equity Markets: Price Indexes (January 1, 199 = 1; weekly data) United States Nasdaq S&P Wilshire Europe Europe (FTSE Eurotop 3) Germany (DAX) United Kingdom (FTSE All-Share) Japan Topix 6 4 Nikkei Source: Datastream. 152
9 KEY FINANCIAL CENTERS Figure 7. Implied and Historical Volatility in Equity Markets Implied volatility Historical volatility 7 S&P 5 Nikkei VIX DAX FTSE Sources: Bloomberg L.P.; and IMF staff estimates. Note: Implied volatility is a measure of the equity price variability implied by the market prices of call options on equity futures. Historical volatility is calculated as a rolling 1-day annualized standard deviation of equity price changes. Volatilities are expressed in percent rate of change. 1 VIX is the Chicago Board Options Exchange s volatility index. This index is calculated by taking a weighted average of implied volatility for the eight S&P 5 calls and puts. 153
10 Figure 8. Historical Volatility of Government Bond Yields and Bond Returns for Selected Countries 1 4 United States 3 12 Japan Yield volatility (left scale) Yield volatility (left scale) Return volatility (right scale) Return volatility (right scale) Germany United Kingdom Yield volatility (left scale) Yield volatility (left scale) Return volatility (right scale) Return volatility (right scale) 1 5 Sources: Bloomberg L.P.; and Datastream. 1 Volatility calculated as a rolling 1-day annualized standard deviation of changes in yield and returns on 1-year government bonds. Returns are based on 1-plus year government bond indexes. 154
11 KEY FINANCIAL CENTERS Figure 9. Twelve-Month Forward Price/Earnings Ratios Japan (right scale) Germany (left scale) United States (left scale) Source: I/B/E/S. Figure 1. Flows into U.S.-Based Equity Funds S&P 5 (right scale) Net flows into U.S.-based equity funds 1 (left scale) Flows into U.S.-based global and aggressive equity funds 1 (left scale) Sources: AMG Data Services; Investment Company Institute; and Datastream. 1 In billions of U.S. dollars. 155
12 Figure 11. United States: Corporate Bond Market 5 Investment Grade 3. 4 Aaa Moody s spread 1 (in percent; right scale) Issuance (in billions of U.S. dollars; left scale) High-Yield Issuance (in billions of U.S. dollars; left scale) Merrill Lynch high-yield spread 1 (in percent; right scale) Sources: Board of Governors of the Federal Reserve System; and Bloomberg L.P. 1 Spread against yield on 1-year U.S. government bonds. 156
13 KEY FINANCIAL CENTERS Figure 12. Europe: Corporate Bond Market 1 High-Yield Spread 2 (In basis points) European Corporate Bond Issuance (In billions of U.S. dollars) Sources: Bondware; and Datastream. 1 Nonfinancial corporate bonds. 2 Spread between yields on a Merrill Lynch High-Yield European Issuers Index bond and a 1-year German government benchmark bond. 157
14 Figure 13. United States: Commercial Paper Market 1 Discount Rate Spread 2 (In basis points; daily data) Amount Outstanding (In billions of U.S. dollars; monthly data) Source: Board of Governors of the Federal Reserve System. 1 Nonfinancial commercial paper. 2 Difference between 3-day A2/P2 and AA commercial paper. 158
15 KEY FINANCIAL CENTERS Figure 14. United States: Asset-Backed Securities ABS Spread 1 (In basis points) Total Amount Outstanding (In billions of U.S. dollars) Automobile Credit card Home equity Manufactured housing CBO/CDO 2 Other :Q3 Sources: Merrill Lynch; Datastream; and the Bond Market Association. 1 Merrill Lynch AAA Asset-Backed Master Index (fixed rate) option-adjusted spread. 2 Collateralized bond/debt obligations. 159
16 Table 1. Global Capital Flows: Inflows and Outflows 1 (In billions of U.S. dollars) Inflows United States Direct investment Portfolio investment Other investment Reserve assets n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. Total capital flows , Canada Direct investment Portfolio investment Other investment Reserve assets n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. Total capital flows Japan Direct investment Portfolio investment Other investment Reserve assets n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. Total capital flows United Kingdom Direct investment Portfolio investment Other investment Reserve assets n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. Total capital flows Euro area 2 Direct investment Portfolio investment Other investment Reserve assets n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. Total capital flows , Emerging Markets and Developing Countries 2 Direct investment Portfolio investment Other investment Reserve assets n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. Total capital flows Sources: International Monetary Fund, World Economic Outlook database as of March 11, 25, and International Financial Statistics. 1 The total net capital flows are the sum of direct investment, portfolio investment, other investment flows, and reserve assets. Other investment includes bank loans and deposits. 2 This aggregate comprises the group of Other Emerging Market and Developing Countries defined in the World Economic Outlook, together with Hong Kong SAR, Israel, Korea, Singapore, and Taiwan Province of China. 16
17 KEY FINANCIAL CENTERS Outflows
18 Table 2. Global Capital Flows: Amounts Outstanding and Net Issues of International Debt Securities by Currency of Issue and Announced International Syndicated Credit Facilities by Nationality of Borrower (In billions of U.S. dollars) Q1 Q2 Q3 Amounts outstanding of international debt securities by currency of issue U.S. dollar 1, , , ,97.9 3,61.4 4,45.9 4, , ,78.9 4,765.4 Japanese yen Pound sterling Canadian dollar Swedish krona Swiss franc Euro , , , , , , , , ,431.1 Other Total 3, ,52. 4, ,87.3 7,16. 8, , , , ,157.5 Net issues of international debt securities by currency of issue U.S. dollar Japanese yen Pound sterling Canadian dollar Swedish krona Swiss franc Euro Other Total ,12.9 1,84.5 1, ,8.7 1, Announced international syndicated credit facilities by nationality of borrower All countries 1, ,25.2 1,45. 1, , , Industrial countries , , , , Of which: United States Japan Germany France Italy United Kingdom Canada Source: Bank for International Settlements. 1 For , the euro includes euro area currencies. 162
19 KEY FINANCIAL CENTERS Table 3. Selected Indicators on the Size of the Capital Markets, 23 (In billions of U.S. dollars unless noted otherwise) Total Stock Bonds, Bonds, Equities, Reserves Market Debt Securities Bank Equities, and and Bank Assets 3 GDP Minus Gold 1 Capitalization Public Private Total Assets 2 Bank Assets 3 (In percent of GDP) World 36, , , , , , , , European Union 1, ,754. 6, , , , , Euro area 8, , , , , , , North America 11, , , , , , , Canada , , United States 11, ,266. 5, ,69.8 2, , , Japan 4, ,94.6 5, , ,87.7 7, , Memorandum items: EU countries Austria Belgium , , Denmark , Finland France 1, , ,45.8 1, ,591. 4, , Germany 2, ,79. 1,165. 2, ,29.7 3,58.6 8, Greece Ireland Italy 1, , , , , , Luxembourg ,725.2 Netherlands , , , Portugal Spain ,65. 1, , Sweden , United Kingdom 1, , , ,45.6 4, , Emerging market countries 4 8, , , , , ,68.8 8, , Of which: Asia 3, , , ,681. 5, , Latin America 1, , Middle East Africa Europe 1, , Sources: World Federation of Exchanges; Bank for International Settlements; International Monetary Fund, International Financial Statistics (IFS) and World Economic Outlook database as of March 11, 25; and 23 Bureau van Dijk Electronic Publishing-Bankscope. 1 Data are from the IFS. For the United Kingdom, excludes the assets of the Bank of England. 2 Assets of commercial banks. 3 Sum of the stock market capitalization, debt securities, and bank assets. 4 This aggregate comprises the group of Other Emerging Market and Developing Countries defined in the World Economic Outlook, together with Hong Kong SAR, Israel, Korea, Singapore, and Taiwan Province of China. 163
20 Table 4. Global Over-the-Counter Derivatives Markets: Notional Amounts and Gross Market Values of Outstanding Contracts 1 (In billions of U.S. dollars) Notional Amounts Gross Market Values End-June End-Dec. End-June End-Dec. End-June End-June End-Dec. End-June End-Dec. End-June Total 127,59 141, , ,167 22,58 4,45 6,36 7,896 6,987 6,395 Foreign exchange 18,68 18,448 22,71 24,475 26,997 1, , Outright forwards and forex swaps 1,426 1,719 12,332 12,387 13, Currency swaps 4,215 4,53 5,159 6,371 7, Options 3,427 3,226 4,58 5,717 6, Interest rate 2 89,955 11, , , ,626 2,467 4,266 5,459 4,328 3,951 Forward rate agreements 9,146 8,792 1,271 1,769 13, Swaps 68,234 79,12 94, ,29 127,57 2,213 3,864 5,4 3,918 3,562 Options 12,575 13,746 16,946 2,12 23, Equity-linked 2,214 2,39 2,799 3,787 4, Forwards and swaps Options 1,828 1,944 2,311 3,186 3, Commodity ,4 1,46 1, Gold Other , Forwards and swaps Options Other 16,496 18,328 21,949 25,58 22, , ,116 Memorandum items: Gross credit exposure 4 n.a. n.a. n.a. n.a. n.a. 1,317 1,511 1,75 1,969 1,478 Exchange-traded derivatives 18,68 18,448 22,71 24,475 26, Source: Bank for International Settlements. 1 All figures are adjusted for double-counting. Notional amounts outstanding have been adjusted by halving positions vis-à-vis other reporting dealers. Gross market values have been calculated as the sum of the total gross positive market value of contracts and the absolute value of the gross negative market value of contracts with nonreporting counterparties. 2 Single-currency contracts only. 3 Adjustments for double-counting are estimated. 4 Gross market values after taking into account legally enforceable bilateral netting agreements. 164
21 KEY FINANCIAL CENTERS Table 5. Global Over-the-Counter Derivatives Markets: Notional Amounts and Gross Market Values of Outstanding Contracts by Counterparty, Remaining Maturity, and Currency 1 (In billions of U.S. dollars) Notional Amounts Gross Market Values End-June End-Dec. End-June End-Dec. End-June End-June End-Dec. End-June End-Dec. End-June Total 127,59 141, , ,167 22,58 4,45 6,36 7,896 6,987 6,395 Foreign exchange 18,68 18,448 22,71 24,475 26,997 1, , By counterparty With other reporting dealers 6,62 6,842 7,954 8,66 1, With other financial institutions 7,21 7,597 8,948 9,45 1, With nonfinancial customers 4,256 4,9 5,168 6,365 6, By remaining maturity Up to one year 2 14,41 14,522 17,543 18,84 21, One to five years 2 2,537 2,719 3,128 3,91 3, Over five years 2 1,13 1,28 1,399 1,734 1, By major currency U.S. dollar 3 15,973 16,5 19,41 21,429 24, , Euro 3 7,297 7,794 9,879 1,145 1, Japanese yen 3 4,454 4,791 4,97 5,5 6, Pound sterling 3 2,522 2,462 3,93 4,286 4, Other 3 5,89 5,349 6,862 7,59 8, Interest rate 4 89,955 11, , , ,626 2,467 4,266 5,459 4,328 3,951 By counterparty With other reporting dealers 43,34 46,722 53,622 63,579 72,55 1,81 1,848 2,266 1,872 1,66 With other financial institutions 36,31 43,67 53,133 57,564 7,219 1,25 1,845 2,482 1,768 1,77 With nonfinancial customers 1,34 11,328 15,44 2,847 21, By remaining maturity Up to one year 2 33,674 36,938 44,927 46,474 57, One to five years 2 34,437 4,137 46,646 58,914 66, Over five years 2 21,844 24,583 3,226 36,63 41, By major currency U.S. dollar 32,178 34,399 4,11 46,178 57,827 1,127 1,917 2,286 1,734 1,464 Euro 3,671 38,429 5, 55,793 63,6 71 1,499 2,178 1,73 1,774 Japanese yen 13,433 14,65 15,27 19,526 21, Pound sterling 6,978 7,442 8,322 9,884 11, Other 6,695 6,738 8,97 1,61 1, Equity-linked 2,214 2,39 2,799 3,787 4, Commodity ,4 1,46 1, Other 16,496 18,328 21,949 25,58 22, , ,116 Source: Bank for International Settlements. 1 All figures are adjusted for double-counting. Notional amounts outstanding have been adjusted by halving positions vis-à-vis other reporting dealers. Gross market values have been calculated as the sum of the total gross positive market value of contracts and the absolute value of the gross negative market value of contracts with nonreporting counterparties. 2 Residual maturity. 3 Counting both currency sides of each foreign exchange transaction means that the currency breakdown sums to twice the aggregate. 4 Single-currency contracts only. 5 Adjustments for double-counting are estimated. 165
22 Table 6. Exchange-Traded Derivative Financial Instruments: Notional Principal Amounts Outstanding and Annual Turnover (In billions of U.S. dollars) Notional principal amounts outstanding Interest rate futures ,21. 1, , , ,96.4 5,87.6 5, ,979. Interest rate options ,69.6 1, , , , ,277.8 Currency futures Currency options Stock market index futures Stock market index options Total 1,34.1 1, , ,521. 4, , , , ,18.1 North America , , , , , , , ,841.2 Europe , , , , ,828.1 Asia-Pacific ,66. 2, ,99.2 2,154. Other (In millions of contracts traded) Annual turnover Interest rate futures Interest rate options Currency futures Currency options Stock market index futures Stock market index options Total , , ,129.3 North America Europe Asia-Pacific Other Source: Bank for International Settlements. 166
23 KEY FINANCIAL CENTERS Q1 Q2 Q3 (In billions of U.S. dollars) 7, ,31.4 7, ,97.8 9, , , , , ,24.8 3, , , , , , , , , , ,51.2 1, , ,7.8 2,22.3 2, , , , , , , , , , , ,82. 48, , , ,93.6 8, , , ,54. 23, , , , , ,8.5 4, , ,8.4 15, , , ,59.2 2, , ,41.3 1,66.2 1,38.5 1, , ,76.6 2, , (In millions of contracts traded) ,57.5 1,152. 1, , , , ,27.2 1, , , ,82. 4, , ,58.6 1, , , ,74.8 1, ,73.1 3,
24 Table 7. United States: Sectoral Balance Sheets (In percent) Corporate sector Debt/net worth Short-term debt/total debt Interest burden Household sector Net worth/assets Equity/total assets Equity/financial assets Home mortgage debt/total assets Consumer credit/total assets Total debt/financial assets Debt service burden Banking sector 3 Credit quality Nonperforming loans 4 /total loans Net loan losses/average total loans Loan-loss reserve/total loans Net charge-offs/total loans Capital ratios Total risk-based capital Tier 1 risk-based capital Equity capital/total assets Core capital (leverage ratio) Profitability measures Return on average assets (ROA) Return on average equity (ROE) Net interest margin Efficiency ratio Sources: Board of Governors of the Federal Reserve System, Flow of Funds; Department of Commerce, Bureau of Economic Analysis; Federal Deposit Insurance Corporation; and Federal Reserve Bank of St. Louis. 1 Ratio of net interest payments to pre-tax income. 2 Ratio of debt payments to disposable personal income. 3 FDIC-insured commercial banks. 4 Loans past due 9+ days and nonaccrual. 5 Noninterest expense less amortization of intangible assets as a percent of net interest income plus noninterest income. 168
25 KEY FINANCIAL CENTERS Table 8. Japan: Sectoral Balance Sheets 1 (In percent) FY1997 FY1998 FY1999 FY2 FY21 FY22 FY23 Corporate sector Debt/shareholders equity (book value) Short-term debt/total debt Interest burden Debt/operating profits 1, , , , ,48. 1,37. 1,79.2 Memorandum items: Total debt/gdp Household sector Net worth/assets Equity Real estate Interest burden Memorandum items: Debt/equity Debt/real estate Debt/net disposable income Debt/net worth Equity/net worth Real estate/net worth Total debt/gdp Banking sector Credit quality Nonperforming loans 5 /total loans Capital ratio Stockholders equity/assets Profitability measures Return on equity (ROE) Sources: Ministry of Finance, Financial Statements of Corporations by Industries; Cabinet Office, Economic and Social Research Institute, Annual Report on National Accounts; Japanese Bankers Association, Financial Statements of All Banks; and Financial Services Agency, The Status of Nonperforming Loans. 1 Data are for fiscal years beginning April 1. 2 Interest payments as a percent of operating profits. 3 Revised due to the change in GDP figures. 4 Interest payments as a percent of disposable income. 5 From FY1998 onward, nonperforming loans are based on figures reported under the Financial Reconstruction Law. Up to FY1997, they are based on loans reported by banks for risk management purposes. 6 Net income as a percentage of stockholders equity (no adjustment for preferred stocks, etc.). 169
26 Table 9. Europe: Sectoral Balance Sheets 1 (In percent) Corporate sector Debt/equity Short-term debt/total debt Interest burden Debt/operating profits Memorandum items: Financial assets/equity Liquid assets/short-term debt Household sector Net worth/assets Equity/net worth Equity/net financial assets Interest burden Memorandum items: Nonfinancial assets/net worth Debt/net financial assets Debt/income Banking sector 5 Credit quality Nonperforming loans/total loans Loan-loss reserve/nonperforming loans Loan-loss reserve/total loans Loan-loss provisions/total operating income Capital ratios Total risk-based capital Tier 1 risk-based capital Equity capital/total assets Capital funds/liabilities Profitability measures Return on assets, or ROA (after tax) Return on equity, or ROE (after tax) Net interest margin Efficiency ratio Sources: 23 Bureau van Dijk Electronic Publishing-Bankscope; ECB Monthly Bulletin; and IMF staff estimates. 1 GDP-weighted average for France, Germany, and the United Kingdom, unless otherwise noted. 2 Corporate equity adjusted for changes in asset valuation. 3 Interest payments as a percent of gross operating profits. 4 Interest payments as a percent of disposable income. 5 Fifty largest European banks. Data availability may restrict coverage to less than 5 banks for specific indicators. 6 Includes the write-off of goodwill in foreign subsidiaries by banks with exposure to Argentina. 7 Cost-to-income ratio. 17
27 EMERGING MARKETS Figure 15. Emerging Market Volatility Measures Emerging Market Equity Volatility (In percent) 25 2 MSCI Emerging Markets index Emerging Market Debt Volatility (In percent) 25 2 EMBI Global index Sources: For Emerging Market Equity Volatility, Morgan Stanley Capital International (MSCI); and IMF staff estimates. For Emerging Market Debt Volatility, J.P. Morgan Chase & Co.; and IMF staff estimates. 1 Data utilize the Emerging Markets index in U.S. dollars to calculate 3-day rolling volatilities. 2 Data utilize the EMBI Global total return index in U.S. dollars to calculate 3-day rolling volatilities. 171
28 Figure 16. Emerging Market Debt Cross-Correlation Measures Average Cross-Correlations, Average Cross-Correlations, Average Regional Cross-Correlations, Latin America Emerging Europe, Middle East, and Africa Average Regional Cross-Correlations, Latin America Overall Overall Asia Asia Emerging Europe, Middle East, and Africa Sources: J.P. Morgan Chase & Co.; and IMF staff estimates. 1 Thirty-day moving simple average across all pair-wise return correlations of 2 constituents included in the EMBI Global. 2 Simple average of all pair-wise correlations of all markets in a given region with all other bond markets, regardless of region
29 EMERGING MARKETS Table 1. Equity Market Indices Year to Date All- All- (as of 24 End of Period End of Period Month Month Time Time 2/16/5) Q1 Q2 Q3 Q High Low High 1 Low 1 World 1, ,59.2 1,62.5 1,47.9 1, , , ,36.3 1, , , Emerging Markets Emerging Markets Free EMF Latin America 1, , ,62.4 1, , ,1.9 1, , , Argentina 1,328. 1, ,73.7 1,163. 1, ,163. 1, , Brazil 1, , ,46.6 1, , Chile , Colombia Mexico 2, , , , , , , , , , ,73.3 1,93.1 2, Peru Venezuela EMF Asia China India Indonesia 1, ,6.5 1, ,324. 1, , Korea Malaysia Pakistan Philippines Taiwan Province of China Thailand EMF Europe, Middle East, and Africa Czech Republic Egypt Hungary 1, , ,57. 1, , Israel Jordan Morocco Poland 1,52.2 1, , , , , , , ,425. 1, , Russia South Africa Turkey 463, ,724 33, , ,8 163,12 234,49 169,9 319,88 425,8 458, , , EMF sectors Energy Materials Industrials Consumer discretionary Consumer staple Health care Financials Information technology Telecommunications Utilities
30 Table 1 (continued) Period on Period Percent Change Year to Date All- All- (as of 24 End of Period End of Period Month Month Time Time 2/16/5) Q1 Q2 Q3 Q High Low High 1 Low 1 World Emerging Markets Emerging Markets Free EMF Latin America Argentina Brazil Chile Colombia Mexico Peru Venezuela EMF Asia China India Indonesia Korea Malaysia Pakistan Philippines Taiwan Province of China Thailand EMF Europe, Middle East, and Africa Czech Republic Egypt Hungary Israel Jordan Morocco Poland Russia South Africa Turkey EMF sectors Energy Materials Industrials Consumer discretionary Consumer staple Health care Financials Information technology Telecommunications Utilities
31 EMERGING MARKETS Table 1 (concluded) Period on Period Percent Change Year to Date All- All- (as of 24 End of Period End of Period Month Month Time Time 2/16/5) Q1 Q2 Q3 Q High Low High 1 Low 1 Developed Markets Australia Austria Belgium Canada 1, ,62. 1,58.7 1,72.3 1, , ,19.7 1, , Denmark 2, ,99.4 2,11.5 2,92.1 2, , ,6.1 1, , , , , , Finland France Germany Greece Hong Kong SAR 7, , ,349. 6, , ,69.1 6,58. 4,88.4 6, , , ,35.4 1, ,995.5 Ireland Italy Japan , Netherlands New Zealand Norway 1, ,47.3 1, ,63.2 1,69.3 1,458. 1, ,24.9 1,69.3 1, , Portugal Singapore 1, ,48.3 1,41.3 1,11.7 1, , ,5.1 1, , Spain Sweden 5, , , , , ,735. 6, , , , , , , Switzerland , , United Kingdom 1, , , , ,453. 1, , , , ,453. 1, , United States 1, ,55.9 1,68.9 1,44.5 1, , , ,45.4 1, , Period on Period Percent Change Developed Markets Australia Austria Belgium Canada Denmark Finland France Germany Greece Hong Kong SAR Ireland Italy Japan Netherlands New Zealand Norway Portugal Singapore Spain Sweden Switzerland United Kingdom United States Source: Data are provided by Morgan Stanley Capital International. Regional and sectoral compositions conform to Morgan Stanley Capital International definitions. 1 From 199 or initiation of the index. 175
32 Table 11. Foreign Exchange Rates (Units per U.S. dollar) Year to Date All- All- (as of 24 End of Period End of Period Month Month Time Time 2/16/5) Q1 Q2 Q3 Q High Low High 1 Low 1 Emerging Markets Latin America Argentina Brazil Chile Colombia 2,333. 2, , , , ,236. 2, ,867. 2,78. 2, ,311. 2, ,98. Mexico Peru Venezuela 1,918. 1, , , , , ,598. 1,918. 1,598. 1, ,921.8 Asia China India Indonesia 9,29. 8,564. 9,4. 9,155. 9,27. 9,675. 1,4. 8,95. 8,42. 9,27. 8,388. 9,44. 1, ,65. Korea 1,27.3 1, , , ,35.1 1,265. 1, , , ,35.1 1,23.8 1, ,962.5 Malaysia Pakistan Philippines Taiwan Province of China Thailand Europe, Middle East, and Africa Czech Republic Egypt Hungary Israel Jordan Morocco Poland Russia South Africa Turkey Developed Markets Australia Canada Denmark Euro Hong Kong SAR Japan New Zealand Norway Singapore Sweden Switzerland United Kingdom
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