Monetary Policy Divergence and Global Financial Stability: From the Perspective of Demand and Supply of Safe Assets
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1 Monetary Policy Divergence and Global Financial Stability: From the Perspective of Demand and Supply of Safe Assets January, 7 Speech at a Meeting Hosted by the International Bankers Association of Japan Hiroshi Nakaso Deputy Governor of the Bank of Japan Chart Cross Border Claims of Banks in the World by Residence of Counterparty..... ratio to world GDP, ratio to world GDP,. to Developing Latin America and Caribbean to Developing Asia and Pacific. to Developing Africa and Middle East ratio to world GDP, to Japan ratio to world GDP, ratio to world GDP, to United States (lhs) to United Kingdom (lhs) to Ireland, Italy, Greece, Portugal, Spain (lhs) to Developing Europe (rhs) (h) Notes:. Latest data as at end-december.. Shaded areas indicate major credit cycle phases. Sources: BIS; IMF.
2 Chart USD Denominated Foreign Positions of Banks U.S. and non U.S. banks' USD denominated foreign claims Non U.S. banks' cross currency funding ratio USD trillions A B A Eurozone sovereign debt crisis Global financial crisis U.S. banks USD denominated foreign claims Non U.S. banks USD denominated foreign claims (A) Non U.S. banks USD denominated foreign liabilities (B) Notes:. Latest data as at end-june.. "Non-U.S. banks' USD-denominated foreign claims" and "Non-U.S. banks' USD-denominated foreign liabilities" are calculated as USD-denominated foreign claims and liabilities of all reporting countries after excluding those of U.S. banks, respectively.. "Non-U.S. banks' cross-currency funding ratio" is calculated as "Non-U.S. banks' USD-denominated foreign claims" less "Non-U.S. banks' USD-denominated foreign liabilities," divided by "Non-U.S. banks' USD-denominated foreign claims." Source: BIS. Chart Foreign Claims by Bank Nationality USD trillions Japanese banks U.S. banks German banks French banks Swiss banks U.K. banks Notes:. Latest data as at end-june.. Euro area claims for German and French banks are excluded. Source: BIS.
3 Chart FX Swap Implied USD Funding Rates and Banks' Creditworthiness FX swap implied USD funding rates (Deviation from USD LIBOR) Non U.S. banks' default probability (Expected Default Frequency).. USD/JPY. EUR/USD.. GBP/USD 7 Japanese banks (lhs) Euro area banks (lhs) U.K. banks (lhs) Japan premium (rhs) Notes:. Latest data as at November.. The shaded areas correspond to Japan's financial crisis (November 997 through March 999), the global financial crisis (December 7 through June 9), and the Eurozone sovereign debt crisis (May through June ).. Non-U.S. banks' default probability is the average of the EDF (Expected Default Frequency) of G-SIBs that are headquartered in each jurisdiction. "Japan Premium" is calculated as -month USD TIBOR less -month USD LIBOR. Sources: Bloomberg; Moody's; BOJ. Chart Outward Portfolio Investment (Euro Area and Japan) Euro area Japan EUR billions Outward portfolio investment to United States to other countries JPY trillions Outward portfolio investment to United States to othercountries tapering ECB monetary easing 9 rate hike tapering rate hike QQE with YCC BOJ monetary easing 9 Notes:. Latest data for euro area as at end-september, data for Japan as at end-june.. In each chart, / indicates the timing and direction of monetary policy changes since. Sources: ECB; Ministry of Finance; BOJ.
4 Chart Prime MMF Holdings of Bank Related Securities As at end June As at end October USD billions USD billions Japan Un nited States Canada France Sweden Australia Unite ed Kingdom Germany Netherlands Switzerland (Bank nationality) Canada Un nited States France Japan Sweden Australia Unite ed Kingdom Germany Netherlands Switzerland (Ban k nationality) Note: Prime MMF holdings of bank related securities are aggregated by country based on the location of banks' global headquarters. "Australia" includes New Zealand. Source: SEC. Chart 7 Japanese Major Banks' Foreign Currency Denominated Balance Sheet As at end March As at end October, USD billions USD billions,,, Loans Client related deposits,, Loans + Client related deposits +7, Corporate bonds, etc. 97, Corporate bonds, etc. +9 Interbank investments Medium to long term FX and currency swaps Repos Short term FX and currency swaps 9 Mdi Medium to long term FX and currency swaps Interbank investments Repos Short term FX and currency swaps + Securities Interbank funding (of which: CD CP ) Securities + Interbank funding 9 (of which: CD CP ) Others Others Others 7 Others Assets Liabilities Assets Liabilities Note: The charts include major banks classified as internationally active banks. Source: BOJ.
5 Chart U.S. Yield Spreads Stock yield (based on expected earnings) Stock yield (based on actual earnings) Long term government bond yield Yield spread (based on expected earnings) Yield spread (based on actual earnings) Notes:. Latest data as at end-november.. Stock yield = EPS / stock price. "Stock yield (based on expected earnings)" is calculated using EPS (forward twelve months), "Stock yield (based on actual earnings)" is calculated using EPS (trailing twelve months). Yield spread = Stock yield - Long-term government bond yield.. S&P for stock price; U.S. -year government bond for long-term government bond yield. Source: Bloomberg. Chart 9 The Impact of U.S. MMF Reform MMF assets U.S. short term rates USD trillions. OIS spreads, Government MMF. T Bill (M) Prime MMF.. LIBOR (M)..... Note: Latest data as at end-november. Source: Bloomberg.
6 Chart Amount of Foreign Currency Funding and FX Swap Transaction Volume Amount of foreign currency funding via FX swaps and currency swaps by Japanese financial institutions, USD billions 7, Major banks and institutional investors, etc. Transaction volume in the FX swap market (USD/JPY) via Tokyo FX market brokers USD billions,, Including regional financial institutions 9 7 FY Notes:. Estimates by the BOJ. Latest data as at end-september.. "Major banks and institutional investors, etc." includes major banks, depository institutions with a particular focus on market investment, and life insurance companies. Sources: Bloomberg; The Life Insurance Association of Japan; Published accounts of each company; BOJ. Notes:. Latest data as at September..Average transaction volume for each business day (includes outright forwards)..trends are calculated using the two-sided HP filter. Source: BOJ. Chart Japanese Financial Institutions' Outward Investments in Foreign Securities JPY trillions Banks (depository corporations) Insurance and pension funds Insurance and pension funds (including public pensions) Securities investment trusts 99 Notes:. Latest data as at end-september.. The amounts are calculated by adding the flow during each period to the stock as at end-december 997, to adjust for the impact of exchange rate fluctuations. Source: BOJ.
7 Chart Transaction Volume in the FX Swap Market and Bond Investment Flows Scatter plot (9 ) Bond investment flows into Japan JPY trillions s into Japan (J PY trillions) Bond inv vestment flow Transaction volume in the FX swap market (USD/JPY, USD billions) China's stock market crash Greek debt issues Taper tantrum High volatility in Global financial crisis global financial markets 9 Notes:. Latest data as at October.. Figures are -month backward moving averages.. The transaction volume in the FX swap market (USD/JPY) is the average (via Tokyo FX market brokers) for each business day and includes outright forwards. Sources: Ministry of Finance; BOJ. Chart Global Liquidity Amplification Mechanism through the FX Swap Market US monetary policy (Interest rate hike)? spillover Slowdown in EM economies Decline in oil prices EM Capital outflows While arbitrage trading by banks has declined due to regulations, real money investors have enlarged their footprint in the FX swap market SWFs and FX reserve managers reduce the supply of USD in the FX swap market Rise in FX swap implied USD funding rate Global banks (non US banks) curtail USD denominated lending to EMs
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c h a p t e r X STATISTICAL APPENDIX This statistical appendix presents data on financial developments in key financial centers and emerging and other markets. It is designed to complement the analysis
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