2018年4月全球金融稳定报告(英文 150页)

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Global Financial Stability Report

CONTENTS

Assumptions and Conventions vii

Further Information viii

Preface ix

Foreword x

Executive Summary xi

IMF Executive Board Discussion Summary xiii

Chapter 1 A Bumpy Road Ahead 1

Outlook for Financial Stability 1

Monetary Policy Normalization in Advanced Economies 5

Reach for Yield or Overreach in Risky Assets? 10

Crypto Assets: New Coin on the Block, Reach for Yield, or Asset Price Bubble? 21

Vulnerabilities in Emerging Markets, Low-Income Countries, and China 26

Funding Challenges of Internationally Active Banks 38

Box 1.1. The VIX Tantrum 47

Box 1.2. An Econometric Lens on What Drives Term Premiums 49

Box 1.3. The Changing Investor Base in the US Leveraged Loan Market 51

Box 1.4. Central Bank Digital Currencies 52

Box 1.5. Regulatory Reform—Tying Up the Loose Ends 53

References 54

Chapter 2 The Riskiness of Credit Allocation: A Source of Financial Vulnerability? 57

Summary 57

Introduction 58

The Riskiness of Credit Allocation: Conceptual Framework 60

The Riskiness of Credit Allocation and Its Evolution across Countries 62

The Riskiness of Credit Allocation and Macro-Financial Stability 67

The Role of Policy and Structural Factors 70

Conclusions and Policy Implications 72

Box 2.1. Measuring the Riskiness of Credit Allocation 74

Box 2.2. Credit Allocation in China: Is Credit Flowing to the Most Profitable Firms? 76

Box 2.3. The Joint Dynamics of the Riskiness of Credit Allocation, Financial Conditions,

Credit Expansions, and GDP Growth 78

Box 2.4. The High-Yield Share during a Credit Boom and Output Growth 80

Annex 2.1. Description and Definition of Variables 81

Annex 2.2. The Determinants of the Riskiness of Credit Allocation 82

Annex 2.3. The Riskiness of Credit Allocation and Macro-Financial Outcomes 87

References 91

Chapter 3 House Price Synchronization: What Role for Financial Factors? 93

Summary 93

Introduction 94

House Price Synchronicity: A Conceptual Framework 97

House Price Synchronization in Countries and Cities 100

Analyzing Contributors to House Price Synchronization 104

House Price Synchronization and Risks to Growth 108

Policy Discussion 109

Box 3.1. Global Investors, House Price Dispersion, and Synchronicity 111

Box 3.2. Housing as a Financial Asset 113

Box 3.3. The Globalization of Farmland 115

Box 3.4. House Price Gap Synchronicity and Macroprudential Policies 117

Annex 3.1. Data Sources and Country Coverage 119

Annex 3.2. Measuring Synchronization and Country-Pair Analysis 121

Annex 3.3. Technical Annex 125

References 130

Tables

Table 1.1. Correlation of Bitcoin with Key Asset Classes and within Crypto Assets 24

Annex Table 2.1.1. Riskiness of Credit Allocation: Economies Included in the Analysis 82

Annex Table 2.1.2. Country-Level Data Sources and Transformations 83

Annex Table 2.2.1. Cyclicality of the Riskiness of Credit Allocation 84

Annex Table 2.2.2. Impact of Financial Conditions and Lending Standards on the Riskiness of

Credit Allocation 85

Annex Table 2.2.3. Impact of Policy and Institutional Settings on the Riskiness of Credit Allocation 86

Annex Table 2.3.1. Panel Logit Analysis: Probability of the Occurrence of a Systemic Banking Crisis 88

Annex Table 2.3.2. Panel Logit Analysis: Banking Sector Equity Stress Risk 89

Annex Table 2.3.3. Impact of the Riskiness of Credit Allocation on Downside Risks to Growth 90

Annex Table 3.1.1. Data Sources 119

Annex Table 3.1.2. Economies and Cities Included in the Analyses 121

Annex Table 3.2.1. House Price Gap Synchronization at Country Level and Bilateral Linkages 123

Annex Table 3.2.2. House Price Gap Synchronization at Country Level and Global Factors 124

Annex Table 3.3.1. Capital Account Openness and Synchronicity 127

Annex Table 3.3.2. Global Investors, House Price Dispersion, and Synchronicity:

Regression Results 129

Figures

Figure 1.1. Global Financial Conditions 2

Figure 1.2. Growth-at-Risk 4

Figure 1.3. Nonfinancial Private Sector Debt 5

Figure 1.4. Market Interest Rates, Central Bank Balance Sheets, and US Financial Indicators 6

Figure 1.5. US Inflation Expectations and Term Premium 8

Figure 1.6. Term Premium Correlations, Spillovers, and Exchange Rate Relationships 9

Figure 1.7. Valuations of Global Equities 11

Figure 1.8. Valuations of Corporate Bonds 13

Figure 1.9. Leveraged Loan Issuance, Quality, and Developments after Regulatory Guidance 14

Figure 1.10. Correlations and Interconnectedness 16

Figure 1.11. Measures of Leverage and Investment Funds with Derivatives-Embedded Leverage 18

Figure 1.12. Strong Inflows into Exchange-Traded Funds Pose Challenges for the Less Liquid

Fixed-Income Markets 20

Figure 1.13. Crypto Assets: Size, Price Appreciation, Realized Volatility, and Sharpe Ratio 23

Figure 1.14. Share of Trading Volumes across Exchanges, Crypto Assets, and Fiat Currencies 25

Figure 1.15. Improving Fundamentals, Increased Foreign Currency Issuance 27

Figure 1.16. Creditor Base and External Financing Vulnerabilities 29

Figure 1.17. Rising Vulnerabilities and More Complex Creditor Composition 31

Figure 1.18. Stylized Map of Linkages within China’s Financial System 33

Contents

International Monetary Fund | April 2018 v

Figure 1.19. Chinese Banking System and Financial Market Developments and Liabilities 34

Figure 1.20. Risks and Adjustment Challenges in Chinese Investment Products 36

Figure 1.21. Chinese Insurers 37

Figure 1.22. Advanced Economy Bank Health 39

Figure 1.23. US Dollar Credit Aggregates and Bank Intragroup Funding Structures 41

Figure 1.24. Non-US Banks’ International Dollar Balance Sheets 42

Figure 1.25. Non-US Banks’ International US Dollar Liquidity Ratios 44

Figure 1.26. Foreign Exchange Swap and Short-Term Bank Funding Markets 45

Figure 1.1.1. US Asset Prices 47

Figure 1.2.1. Estimated Term Premiums 49

Figure 1.3.1. Nonbanks Have Increased Their Credit Exposure in the US Leveraged Loan Market 51

Figure 2.1. Financial Conditions Have Been Loose in Recent Years 58

Figure 2.2. Low-Rated Nonfinancial Corporate Bond Issuance Has Been High in Some Advanced

Economies 59

Figure 2.3. Key Drivers of the Riskiness of Credit Allocation 61

Figure 2.4. The Riskiness of Credit Allocation Is Cyclical at the Global Level 63

Figure 2.5. Selected Economies: Riskiness of Credit Allocation, 1995–2016 64

Figure 2.6. The Riskiness of Credit Allocation Rises When a Credit Expansion Is Stronger 66

Figure 2.7. The Association between the Size of a Credit Expansion and the Riskiness of Credit

Allocation Is Greater When Lending Standards and Financial Conditions Are Looser 66

Figure 2.8. The Riskiness of Credit Allocation Rises to a High Level before a Financial Crisis,

and Falls to a Low Level Thereafter 67

Figure 2.9. Higher Riskiness of Credit Allocation Signals Greater Risk of a Systemic Banking Crisis 68

Figure 2.10. Higher Riskiness of Credit Allocation Signals Greater Risk of Banking Sector Stress 68

Figure 2.11. Higher Riskiness of Credit Allocation Signals Higher Downside Risks to GDP Growth 69

Figure 2.12. The Association of the Riskiness of Credit Allocation with Downside Risks to GDP

Growth Depends on the Size of Credit Expansion 70

Figure 2.13. The Association of a Credit Expansion with the Riskiness of Credit Allocation Depends

on Policy and Institutional Settings 71

Figure 2.1.1. Measuring the Riskiness of Credit Allocation 74

Figure 2.1.2. Histograms of Measures of the Riskiness of Credit Allocation 75

Figure 2.2.1. China: Profitability of Credit Allocation, 1997–2016 76

Figure 2.2.2. China: Profitability of Credit Allocation, by Ownership and Sector 77

Figure 2.3.1. The Riskiness of Credit Allocation and Financial Conditions 78

Figure 2.4.1. Impulse Response of Cumulative Real GDP Growth to a High-Yield Share Shock

Given a Credit Boom 80

Figure 3.1. House Price Gains in Selected Cities and Countries Have Been Widespread 94

Figure 3.2. Widespread House Price Gains Have Accompanied Accommodative Financial Conditions 95

Figure 3.3. Institutional Investor Participation Has Been on the Rise 96

Figure 3.4. Global Financial Conditions, Portfolio Channels, and Expectations Contribute to House

Price Synchronization, as Do Supply Constraints and Local Policy 98

Figure 3.5. Synchronization Has Steadily Increased across Countries and Cities 100

Figure 3.6. The Relative Contribution of the Global Factor Has Grown 101

Figure 3.7. Instantaneous Quasi Correlation of House Price Gaps Shows Financial Cycle Properties 102

Figure 3.8. Relative Contribution of the Global Factor Varies across Regions 103

Figure 3.9. Economies Differ in Their House Price Interconnectedness 104

Figure 3.10. Interconnectedness among Cities’ House Prices Varies 105

Figure 3.11. Average Country-Level Housing Market Spillovers Have Increased 106

Figure 3.12. Bilateral Links between Countries Are Associated with House Price Synchronization 106

Figure 3.13. Greater Financial Openness Is Associated with Higher House Price Synchronization 107

Figure 3.14. On Average, the Global Factor for House Prices Has Increased along with That

for Equities 107

vi International Monetary Fund | April 2018

GLOBAL FINANCIAL STABILITY REPORT: A BUMPY ROAD AHEAD

Figure 3.15. Global Financial Conditions, as Proxied by Global Liquidity, Have Different

Associations with House Price Synchronization across Countries and Cities 108

Figure 3.16. House Price Synchronization Predicts a Downside Risk to Economic Growth at

Short Horizons 108

Figure 3.1.1. Real House Prices in 40 Largest US Cities by Population 111

Figure 3.2.1. Housing Return Predictability 113

Figure 3.2.2. Predictability of Returns on Housing and Capital Account Openness 113

Figure 3.3.1. Large-Scale Land Acquisitions over Time by Target Region 115

Figure 3.4.1. Macroprudential Tools Indirectly Reduce House Price Synchronicity 118

Online Annexes

Annex 1.1. Option-Implied Volatility: The Quantity and Price of Risk for