IMF：全球金融稳定报告(英文 132 页)

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Global Financial Stability Report

October 2016

CONTENTS

Assumptions and Conventions vi

Further Information and Data vii

Preface viii

Executive Summary ix

IMF Executive Board Discussion Summary xiii

Chapter 1 Financial Stability Challenges in a Low-Growth, Low-Rate Era 1

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

Chapter 2 Monetary Policy and the Rise of Nonbank Finance 49

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

Chapter 3 Corporate Governance, Investor Protection, and Financial Stability in Emerging Markets 81

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

References 112

Tables

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

Figures

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