Global Financial Stability Report
October 2016
Assumptions and Conventions vi
Further Information and Data vii
Preface viii
Executive Summary ix
IMF Executive Board Discussion Summary xiii
Financial Stability Overview 1
Medium-Term Risks Rising 6
Emerging Market Economies: A Smooth Deleveraging? 27
Global Stability Challenges in the New Era 38
Box 1.1. Impact of Brexit 41
Box 1.2. The Basel Committee Agenda: Achieving Certainty without Compromising Integrity 44
Annex 1.1. Financial Stagnation and Protectionism Scenario 45
References 48
Summary 49
Introduction 50
Trends in the Transmission of Monetary Policy 52
Channels of Monetary Policy Transmission 53
Empirical Evidence on the Transmission of Monetary Policy 58
Policy Discussion 66
Conclusions and Policy Recommendations 67
Box 2.1. Monetary Policy and the Stock Returns of Banks and Nonbanks 69
Box 2.2. Exchange Rate Volatility, Monetary Policy, and Nonbanks 71
Annex 2.1. Aggregate Vector Autoregression Analysis 73
Annex 2.2. Microanalysis of the Behavior of Financial Firms 75
Annex 2.3. Microanalysis of Borrower Behavior 76
References 78
Summary 81
Introduction 82
Nexus between Corporate Governance, Investor Protection, and Financial Stability 85
The Evolving Nature of Corporate Governance and Investor Protection 88
Corporate Governance, Investor Protection, and Financial Stability 93
Conclusions and Policy Implications 101
Box 3.1. Examples of Corporate Governance Reforms in Selected Emerging Market Economies 103
Box 3.2. Strengthening Corporate Governance for State-Owned Enterprises in China 104
Annex 3.1. Emerging Market Corporate Fundamentals and Governance 106
Annex 3.2. Analysis of Firm-Level Stock Price Comovement and Crash Risk 106
Annex 3.3. Estimating the Impact of Global Financial Shocks on Firm Equity Returns 108
Annex 3.4. Data Sources and Country Coverage 109
Table 1.1.1 Brexit Implications for the U.K. Financial Sector 42
Annex Table 1.1.1. Financial Stagnation and Protectionism Scenario, Assumptions 46
Table 3.1. Firm-Level Governance and Firm Characteristics 92
Table 3.2. Corporate Governance, Investor Protection, and Capital Market Development 94
Annex Table 3.1.1. Firm Governance and Fundamentals: Selected Regressions 107
Annex Table 3.2.1. Firm-Level Stock Price Comovement and Crash Risk 108
Annex Table 3.3.1. Global Financial Shocks and Firm Equity Returns 109
Annex Table 3.4.1. Data Sources 110
Figure 1.1. Global Financial Stability Map: Risks and Conditions 2
Figure 1.2. Global Financial Stability Map: Assessment of Risks and Conditions 3
Figure 1.3. Brexit’s Impact on Financial Markets 4
Figure 1.4. Decomposition of Equity Market Performance 5
Figure 1.5. Policy Uncertainty 6
Figure 1.6. Global Growth Momentum and Interest Rates 7
Figure 1.7. Sovereign Bond Yields and Term Premiums in Advanced Economies 9
Figure 1.8. Drivers of Government Bond Yields 10
Figure 1.9. Effects on Credit Growth of Shocks to Equity Prices 11
Figure 1.10. Developed and Emerging Market Economy Banks: Capital and Liquidity Indicators 12
Figure 1.11. Price-to-Book and Return on Equity Decomposition, 2006–15 13
Figure 1.12. Advanced Economies: Trends in Bank Profitability 14
Figure 1.13. Bank Performance in a “Cyclical Recovery” Scenario, by Region 16
Figure 1.14. Stylized Net Capital Impact of Nonperforming Loan Disposal at Euro Area Banks 17
Figure 1.15. European and U.S. Banks—Operating Efficiency and Cost Rationalization 18
Figure 1.16. European Banks’ Elevated Cost of Funding 20
Figure 1.17. European Bank Profitability in a “Structural Reform” Scenario 21
Figure 1.18. Japanese Banks and Foreign Exchange Funding 22
Figure 1.19. Low Interest Rates and Insurance Companies 25
Figure 1.20. U.S. Pension Fund Discount Rate 26
Figure 1.21. Pension Funding Shortfalls in the United States and the United Kingdom 27
Figure 1.22. Portfolio Flows to Emerging Market Economies and Asset Prices 29
Figure 1.23. Corporate Borrowing: Stabilized, but at a High Level 30
Figure 1.24. Scenarios for Deleveraging in Emerging Market Firms and Default Rates 32
Figure 1.25. Sensitivity of Emerging Market Economy Assets to Global Policy Uncertainty 34
Figure 1.26. China: Credit Overhang and Shadow Credit 36
Figure 1.27. China: Bank Linkages to the Structured Investment Complex 37
Figure 1.28. Financial Stagnation and Protectionism Scenario: Simulated Peak Effects 39
Figure 1.1.1. Brexit Implications for the United Kingdom 43
Figure 1.1.2. Brexit Impact on the U.K. Commercial Real Estate Markets 43
Annex Figure 1.1.1. Financial Stagnation and Protectionism Scenario, Aggregated Simulated Paths 47
Figure 2.1. The Relative Importance of Nonbank Financial Intermediaries 51
Figure 2.2. Trends in the Transmission of Monetary Policy 53
Figure 2.3. Transmission of Monetary Policy through the Reaction of Financial Intermediaries 54
Figure 2.4. Marked-to-Market Assets by Sector 56
Figure 2.5. Value at Risk in Risk Management by Asset Class and Year 58
Figure 2.6. Transmission of Monetary Policy and Size of Nonbank Financial Sector 59
Figure 2.7. Response to a Monetary Policy Contraction 60
Figure 2.8. Risk Taking and Monetary Policy in the United States 61
Figure 2.9. Monetary Policy and Total Assets Owned by Financial Intermediaries 63
Figure 2.10. Bank Regulation, Monetary Policy, and Total Assets Owned by Financial Institutions 64
Figure 2.11. Risk Taking by Mutual Funds and Monetary Policy 64
Figure 2.12. Bond Finance around the World 65
Figure 2.13. Bond Financing and Monetary Policy 66
Figure 2.1.1. Stock Price Responses to Unconventional Monetary Policy 69
Figure 2.2.1. Sensitivity of Financial Firms to Exchange Rate Changes, 1995–2016 71
Figure 2.2.2. Foreign Currency Liabilities of Banks and Nonbanks, 2001–14 71
Annex Figure 2.1.1. Trends in the Transmission of Monetary Policy—Robustness 73
Annex Figure 2.2.1. Summary Statistics 75
Figure 3.1. Corporate Governance and Equity Returns 82
Figure 3.2. Corporate Governance and Volatility of Stock Market Returns in Emerging
Market Economies 83
Figure 3.3. Ownership Structure and Closely Held Shares 86
Figure 3.4. Minority Shareholder Protection 89
Figure 3.5. Country-Level Corporate Governance and Investor Protection 90
Figure 3.6. Emerging Market Firm-Level Governance Index 91
Figure 3.7. Corporate Governance and Firm-Level Valuation 93
Figure 3.8. Firm-Level Governance and Valuation 94
Figure 3.9. Corporate Governance and Market Liquidity 95
Figure 3.10. Stock Return Comovement 96
Figure 3.11. Stock Market Comovement (R 2) over Time 96
Figure 3.12. Crash Risk 97
Figure 3.13. Event Study: Firm-Level Governance and Equity Returns 98
Figure 3.14. Impact of Global Financial Shocks on Equity Returns 99
Figure 3.15. Corporate Governance and Selected Balance Sheet Indicators 99
Figure 3.16. Firm-Level Governance and the Bond Market 100
Figure 3.17. Firm-Level Governance and Solvency 101
Figure 3.18. Country-Level and Firm-Level Governance and Short-Term Debt 101
Figure 3.2.1. Selected Emerging Market Economies: State-Owned Enterprises 104
Figure 3.2.2. Leverage and Equity Price Comovement of State-Owned Enterprises in China 105
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