1、GLOBALFINANCIALSTABILITYREPORTThe Last Mile:Financial Vulnerabilities and Risks 2024APRINTERNATIONAL MONETARY FUNDGLOBALFINANCIALSTABILITYREPORTThe Last Mile:Financial Vulnerabilities and Risks 2024APRINTERNATIONAL MONETARY FUND2024 International Monetary FundCover and Design:IMF CSF Creative Soluti

2、ons DivisionComposition:Absolute Service,Inc.;and AGS,An RR Donnelley CompanyCataloging-in-Publication DataIMF LibraryNames:International Monetary Fund.Title:Global financial stability report.Other titles:GFSR|World economic and financial surveys,0258-7440Description:Washington,DC:International Mone

3、tary Fund,2002-|Semiannual|Some issues also have thematic titles.|Began with issue for March 2002.Subjects:LCSH:Capital marketStatisticsPeriodicals.|International financeForecastingPeriodicals.|Economic stabilizationPeriodicals.Classification:LCC HG4523.G557ISBNs:979-8-40025-770-4(paper)979-8-40025-

4、779-7(ePub)979-8-40025-771-1(web PDF)Disclaimer:The Global Financial Stability Report is a survey by the IMF staff published twice a year,in the spring and fall.The report draws out the financial ramifications of economic issues highlighted in the IMFs World Economic Outlook.The report was prepared

5、by IMF staff and has benefited from comments and suggestions from Executive Directors following their discussion of the report on April 3,2024.The views expressed in this publication are those of the IMF staff and do not necessarily represent the views of the IMFs Executive Directors or their nation

6、al authorities.Recommended citation:International Monetary Fund.2024.Global Financial Stability Report:The Last Mile:Financial Vulnerabilities and Risks.Washington,DC,April.Please send orders to:International Monetary Fund,Publications ServicesPO Box 92780,Washington,DC 20090,USATel.:(202)623-7430 F

7、ax:(202)623-7201E-mail:publicationsIMF.orgbookstore.IMF.orgelibrary.IMF.orgAssumptions and Conventions viFurther Information viiPreface viiiForeword ixExecutive Summary xiIMF Executive Board Discussion of the Outlook,April 2024 xviChapter 1 Financial Fragilities along the Last Mile of Disinflation 1

8、 Chapter 1 at a Glance 1 Introduction 1 Monetary Policy and Financial Market Developments 3 Growth-at-Risk Forecasts 10 Salient Near-Term Risks 11 Medium-Term Vulnerabilities 21 Policy Recommendations 41 Box 1.1.Approval of Spot Bitcoin Exchange-Traded Products Expands the 46 Investor Base Box 1.2.I

9、ntertemporal Risk Trade-Offs to US Growth under Alternative Scenarios of 47 Credit Growth Box 1.3.Are Regional Banks in the United States“Out of the Woods”?49 References 51Chapter 2 The Rise and Risks of Private Credit 53 Chapter 2 at a Glance 53 How Private Credit Started and Has Grown 54 How Priva

10、te Credit Could Threaten Financial Stability 56 Characteristics of Private Credit Borrowers 57 Liquidity Risks of Private Credit Funds 61 Leverage in Private Credit 63 Private Credit Valuations 64 Interconnectedness 67 Policy Recommendations 72 Box 2.1.Small But Growing Private Credit Funds in Asia

11、75 References 76Chapter 3 Cyber Risk:A Growing Concern for Macrofinancial Stability 77 Chapter 3 at a Glance 77 Introduction 77 Transmission of Cyber Risks to Macrofinancial Stability 81 Losses to Firms from Cyber Incidents 83 Drivers of Cyber Incidents 85 The Cyber Threat Landscape in the Financial

12、 Sector 86 Cybersecurity Preparedness across Countries 91 Conclusion and Policy Recommendations 94 Box 3.1.Cyber Risk for Financial Market Infrastructures 96 Box 3.2.Cyber Risk and Crypto Assets 98 References 100CONTENTSInternational Monetary Fund|April 2024iiiGLOBAL FINANCIAL STABILITY REPORT:ThE L

13、AST MILE:FINANCIAL VuLNERABILITIES ANd RISkSivInternational Monetary Fund|April 2024Tables Table 2.1.Key Concepts and Definitions 54 Table 2.2.Characteristics of Leverage in Private Credit Vehicles 64Figures Figure ES.1.Financial Conditions Indexes xi Figure ES.2.Emerging Markets Portfolio Flow Trac

14、king Local Currency xi Bonds and Equities Figure ES.3.Global Growth-at-Risk xi Figure ES.4.Bank CRE Exposures xii Figure ES.5.Chinese Stock Markets under Pressure xii Figure ES.6.Corporate Interest Rates Set to Go Up xii Figure ES.7.Private Credit Growth xiii Figure ES.8.Total Assets of Banks Flagge

15、d by Three or More KRIs xiii Figure ES.9.Estimated Distribution of Maximum Annual Firm Loss xiii Figure 1.1.Policy Rate Expectations:Selected Advanced and Emerging 4 Market Economies Figure 1.2.Market-Based Inflation Expectations 5 Figure 1.3.Option-Implied Expectations of Policy Rates 6 Figure 1.4.

16、Evolution of Long-Term Rates 7 Figure 1.5.Asset Price Rally 8 Figure 1.6.Equity Valuation and Returns Decomposition 9 Figure 1.7.Financial Conditions Indices 10 Figure 1.8.Lending Standards and Loan Growth 11 Figure 1.9.Global Growth-at-Risk 12 Figure 1.10.Developments in Global Commercial Real Esta

17、te Markets 13 Figure 1.11.Vulnerabilities in the US Commercial Real Estate Market 15 Figure 1.12.Banking Exposures to Commercial Real Estate 16 Figure 1.13.Developments in Residential Real Estate Markets 18 Figure 1.14.Cross Asset Volatility 19 Figure 1.15.Cross-Asset Correlations and Some Structura

18、l Factors 20 Figure 1.16.Emerging Market Inflation,Interest Rates,and Portfolio Flows 22 Figure 1.17.Emerging Market Bonds and Investor Base 24 Figure 1.18.Investors Expect Debt Sustainability to Be Challenged in Coming Years 25 Figure 1.19.Financing Still Challenging for Frontier and Low-Income Cou

19、ntries 27 Figure 1.20.Property Market and LGFV Problems Have Not Improved 28 Figure 1.21.Chinese Stock Markets under Pressure 29 Figure 1.22.The Chinese Asset Management Industry Is Large and Exposed to Risks 30 Figure 1.23.Corporate Earnings 32 Figure 1.24.Weaker Tail Corporate Borrowers 33 Figure

20、1.25.Government Bond Supply in Europe and the United States 34 Figure 1.26.Demand Base for Longer-Term Bonds 35 Figure 1.27.The Impact of Quantitative Tightening 36 Figure 1.28.Leveraged Basis Trades 38 Figure 1.29.Banks Continue to Face Challenges in Higher for Longer Interest 39 Rate Environment F

21、igure 1.30.Bank-Sovereign Nexus 40 Figure 1.31.Open-Ended Funds 42 Figure 1.1.1.Bitcoin Performance 46 Figure 1.2.1.Growth-at-Risk for the United States 48 Figure 1.3.1.Banking Sector Challenges for the United States,High Share of 49 Unrealized Losses and Commercial Real Estate Exposures Figure 2.1.

22、Private Credit Structure 54 Figure 2.2.Overview of Private Credit and Other Traditional Markets and Assets 55CONTENTSvInternational Monetary Fund|April 2024 Figure 2.3.Private Credit Firms Are Medium Sized,Technology Sector Heavy,and 58 Relatively Highly Leveraged Compared to Earnings Figure 2.4.Pri

23、vate Credit Firms Face a Steep Increase in the Cost of 59 Their Variable Rate Debt Figure 2.5.Private-Equity-Sponsored Firms Show Lower Default Rates during 60 Times of Stress,and Overall Credit Losses in Private Credit Have Historically Not Been Outsized because of Risk Mitigants Figure 2.6.Private

24、 Credit and Procyclicality 61 Figure 2.7.Private Credit Liquidity 62 Figure 2.8.Leverage in Private Credit 63 Figure 2.9.Leverage of Business Development Companies 65 Figure 2.10.Valuation of Private Credit Assets 66 Figure 2.11.Links between Private Credit and Private Equity 67 Figure 2.12.Exposure

25、s of Traditional Financial Institutions to Private Credit Funds 68 Figure 2.13.Pension Funds with Financial Leverage and Illiquid Investments 69 Figure 2.14.Private-Equity-Influenced Life Insurers 70 Figure 2.1.1.Private Credit in Asia 75 Figure 3.1.Cyber Risks Are Increasing 78 Figure 3.2.The Finan

26、cial Sector Is Highly Exposed to Cyber Risk 79 Figure 3.3.Cyber Risks Are Receiving Increasing Attention 80 Figure 3.4.Cybersecurity and Macrofinancial Stability:Channels of Transmission 82 Figure 3.5.Reported Direct Losses Resulting from Cyber Incidents 84 Figure 3.6.Total Losses from Cyber Inciden

27、ts 85 Figure 3.7.Drivers of Cyber Incidents 87 Figure 3.8.Cyber Risk in the Financial Sector 88 Figure 3.9.Cyber Incidents and Deposit Flows 90 Figure 3.10.Emerging Market and Developing Economies Have Gaps in 92 Their Cybersecurity Preparedness Figure 3.1.1.Size and Interconnectedness of Financial

28、Market Infrastructures 96 Figure 3.2.1.Cyberattacks on Crypto Assets and Cyber Run Risk of Stablecoins 98Online-Only Annexes Online Annex 3.1.Data Description and Sources Online Annex 3.2.Generalized Extreme Value Distribution of Cyber Loss Online Annex 3.3.The Effects of Cyber Incidents on Equity P

29、rices Online Annex 3.4.Drivers of Cyber Incidents Online Annex 3.5.The Cyber Threat Landscape in the Financial Sector Online Annex 3.6.Cyberattacks and Bank Deposits Online Annex 3.7.IMF Cybersecurity Survey Online Annex 3.8.Cyber Incidents and Crypto AssetsThe following conventions are used through

30、out the Global Financial Stability Report:.to indicate that data are not available or not applicable;to indicate that the figure is zero or less than half the final digit shown or that the item does not exist;between years or months(for example,202122 or JanuaryJune)to indicate the years or months c

31、overed,including the beginning and ending years or months;/between years or months(for example,2021/22)to indicate a fiscal or financial year.“Billion”means a thousand million.“Trillion”means a thousand billion.“Basis points”refers to hundredths of 1 percentage point(for example,25 basis points are

32、equivalent to of 1 percentage point).Minor discrepancies between sums of constituent figures and totals shown reflect rounding.As used in this report,the terms“country”and“economy”do not in all cases refer to a territorial entity that is a state as understood by international law and practice.As use

33、d here,the term also covers some territorial entities that are not states but for which statistical data are maintained on a separate and independent basis.The boundaries,colors,denominations,and any other information shown on the maps do not imply,on the part of the International Monetary Fund,any

34、judgment on the legal status of any territory or any endorsement or acceptance of such boundaries.ASSUMPTIONS AND CONVENTIONSInternational Monetary Fund|April 2024viCorrections and RevisionsThe data and analysis appearing in the Global Financial Stability Report are compiled by IMF staff at the time

35、 of publication.Every effort is made to ensure their timeliness,accuracy,and completeness.When errors are discovered,corrections and revisions are incorporated into the digital editions available from the IMF website and on the IMF eLibrary(see below).All substantive changes are listed in the Conten

36、ts page.Print and Digital EditionsPrintPrint copies of this Global Financial Stability Report can be ordered from the IMF Bookstore at imfbk.st/540769.DigitalMultiple digital editions of the Global Financial Stability Report,including ePub,enhanced PDF,and HTML,are available on the IMF eLibrary at e

37、library.IMF.org/Apr24GFSR.Download a free PDF of the report and data sets for each of the figures therein from the IMF website at www.IMF.org/publications/gfsr or scan the QR code below to access the Global Financial Stability Report web page directly:Copyright and ReuseInformation on the terms and

38、conditions for reusing the contents of this publication are at www.IMF.org/external/terms.htm.FURTHER INFORMATIONInternational Monetary Fund|April 2024viiThe Global Financial Stability Report(GFSR)assesses key vulnerabilities the global financial system is exposed to.In normal times,the report seeks

39、 to play a role in preventing crises by highlighting policies that may mitigate systemic risks,thereby contributing to global financial stability and the sustained economic growth of the IMFs member countries.The analysis in this report was coordinated by the Monetary and Capital Markets(MCM)Departm

40、ent under the general direction of Tobias Adrian,Director.The project was directed by Fabio Natalucci,Deputy Director;Mahvash Qureshi,Assistant Director;Jason Wu,Assistant Director;Charles Cohen,Advisor;Jay Sanat Surti,Division Chief;Nassira Abbas,Deputy Division Chief;Caio Ferreira,Deputy Division

41、Chief and Chapter 2 co-lead;Sheheryar Malik,Deputy Division Chief;Felix Suntheim,Deputy Division Chief and Chapter 3 lead;and Nobuyasu Sugimoto,Deputy Division Chief and Chapter 2 co-lead.It benefited from comments and suggestions from senior staff in the MCM Department.Individual contributors to th

42、e report were Rafael Barbosa,Mustafa Ouz aylan,Benjamin Chen,Yingyuan Chen,Fabio Cortes,Andrea Deghi,Mohamed Diaby,Gonzalo Dionis Fernandez,Andrew Ferrante,Deepali Gautam,Sanjay Hazarika,Phakawa Jeasakul,Esti Kemp,Oksana Khadarina,Nila Khanolkar,Johannes S.Kramer,Harrison Samuel Kraus,Yiran Li,Xiang

43、-Li Lim,Corrado Macchiarelli,Benjamin Mosk,Kleopatra Nikolaou,Natalia Novikova,Tatsushi Okuda,Sonal Patel,Silvia Loyda Ramirez,Ravikumar Rangachary,Patrick Schneider,Enyu Shao,Tomohiro Tsuruga,Jeffrey David Williams,Tao Wu,Hong Xiao,Ying Xu,Dmitry Yakovlev,and Aki Yokoyama.Ren M.Stulz of The Ohio St

44、ate University served as an expert advisor for Chapter 3.Monica Devi,Javier Chang,Lauren Kao,and Srujana Sammeta were responsible for excellent coordination and editorial support.Rumit Pancholi from the Communications Department led the editorial team and managed the reports production,with editoria

45、l and typesetting service from Grauel Group and Absolute Service,Inc.This issue of the GFSR draws in part on a series of discussions with banks,securities firms,asset management companies,hedge funds,standard setters,financial consultants,pension funds,trade associations,central banks,national treas

46、uries,and academic researchers.This GFSR reflects information available as of March 29,2024.In Chapter 1,data used in Figures 1.1(all panels),1.2(panel 1),1.4(panels 1,2 and 3),and 1.5(all panels)reflect information through April 5,2024.The report benefited from comments and suggestions from staff i

47、n other IMF departments,as well as from Executive Directors following their discussions of the GFSR on April 3,2024.However,the analysis and policy considerations are those of the contributing staff and should not be attributed to the IMF,its Executive Directors,or their national authorities.PREFACE

48、International Monetary Fund|April 2024viiiFinancial markets have turned quite optimistic since we last published the Global Financial Stability Report(GFSR)in October 2023.Expectations for a global economic soft landing and continued progress on disinflation have created an environment for household

49、s and businesses to obtain financing at lower costs,notwithstanding still-high interest rates.Investors may also be reassured by the fact that the banking turmoil from last year appears to have been contained.A soft landing after a significant rise of global inflation is unusual by historical standa

50、rds.Since the 1970s,meaningful tightening of monetary policy to reduce inflation has usually been followed by reces-sions and a tightening of financial conditions.This time around,markets seem to expect resilient,albeit low,growth in most countries as inflation returns to target.A soft landing is al

51、so the IMFs baseline case,as documented by the April 2024 World Economic Outlook.But the job of the GFSR is to assess risks to global financial stability,which are inherently non-baseline possibilities.So,while near-term downside risks may have receded since our October 2023 GFSR,there are still sev

52、eral salient risks at the top of our minds.First,our models reveal stretched valuations in various asset classes,predominantly through com-pressed risk premiums relative to historical standards.One example is the corporate bond market,where spreads continue to grind lower despite rising default rate

53、s.Another example is the sovereign debt mar-ket,where spreads,even for vulnerable issuers,have narrowed.But stretched valuations arent limited to bondstheyre also noticeable in stock and even some commodity markets.Prices of assets have moved up together,riding the wave of lower risk premiums,increa

54、sing asset price correlations,and lowering market volatility.This is an environment in which asset repricing can happen quickly.Sudden shifts in policies,a flare-up of geopolitical tensions,and commodity and supply chain disruptions are a few examples of catalysts that could usurp current expectatio

55、ns of the trajectory of inflation and,in turn,monetary policy.Financial conditions would then tighten sharpy as investor sentiment sours and asset price correlations decline.A less favorable financing environment,in turn,would likely exacerbate existing fragilities.As detailed in this GFSR,borrowers

56、 in real estate markets,especially certain segments of commercial real estate with weak prospects,could face difficult and costly refinancings of existing loans,like the estimated 600 billion of US commercial real estate debt that is due this year.Defaults would then ensue,putting pressure on lender

57、s with concentrated exposures in these loans.More broadly,default rates in riskier credit markets have been rising in many countries.If global financial conditions were to tighten,capital outflow pressures on emerging markets could emerge,putting currencies and other assets under depreciation pressu

58、re.That said,major emerging markets have weathered well through interest rate hikes over the past few years,demonstrating domestic resilience built with improved policy frameworks.Weaker sovereigns,on the other hand,may once again see their international sources of funding dry up.In the medium term,

59、easy financial conditions are conducive to the accumulation of financial vulnerabil-ities,such as the overuse of debt by both governments and private-sector borrowers.For governments,con-cerns about debt sustainability could further intensify.In the private sector,the rapid surge in private credit o

60、ver the past few yearslending by institutions that are not regulated like commercial banks or other traditional playerscould expose fragilities given how opaque this market is.Another source of concern for macrofinancial stability is the growing risk of mali-cious cyber attacks associated with the d

61、eepening digitalization and reliance on technology.Reassuringly,policymakers can take steps to miti-gate these salient risks and reduce vulnerabilities.Such steps need to be taken decisively,starting with push-ing back against overly optimistic expectations of the pace of disinflation and monetary p

62、olicy easing.By FOREWORDInternational Monetary Fund|April 2024ixGLOBAL FINANCIAL STABILITY REPORT:ThE LAST MILE:FINANCIAL VuLNERABILITIES ANd RISkSxInternational Monetary Fund|April 2024doing so,asset repricing risks could be mitigated.This has been the IMFs advice for some time,and recent communica

63、tions by major central banks cautioning that disinflation has not yet been fully achieved are consistent with this recommendation.Financial regulatory authorities should take steps to ensure banks and other institutions can withstand defaults and other risks,using stress tests,early correc-tive acti

64、ons,and other supervisory tools.Where there are data gaps,like in private credit markets,reporting requirements should be enhanced.Regulators should prioritize full and consistent implementation of internationally agreed prudential standards,notably finalizing the phase-in of Basel III.Further progr

65、ess on recovery and resolution frameworks is also of first-order importance,to limit the fallout from the demise of weaker institutions.Authorities should strengthen efforts to contain debt vulnerabilities,including through appropriate fiscal consolidation,as recommended by the April 2024 Fiscal Mon

66、itor.For emerging markets and frontier economies,such efforts should lessen the incidence and severity of capital outflows and external funding squeezes.The overall outlook for global macrofinancial stability risks has improved in the past year,alongside declines in global inflation.However,policyma

67、kers must remain vigilant and plan for action not just in the baseline but also in adverse scenarios.Since the outbreak of the COVID-19 pandemic in 2020,financial sectors and economies have been hit by a series of adverse shocks,and further downsides could materialize.Only prudent policy and alert r

68、eadiness will ensure that potential future scenarios can be tackled effectively.Tobias AdrianFinancial CounsellorFinancial Fragilities along the Last Mile of DisinflationFinancial market sentiment has been buoyant since the October 2023 Global Financial Stability Report on expectations that global d

69、isinflation is entering its“last mile”and monetary policy will be easing.Interest rates are down worldwide,on balance,stocks are up about 20 percent globally,and corporate and sovereign borrowing spreads have narrowed notably.As a result,global financial conditions have eased(Figure ES.1).This risk-

70、on environment has helped rekindle capital inflows for many emerging markets,on balance(Figure ES.2),and some frontier economies and low-income countries have taken advantage of strong investor risk appetite to issue sovereign bonds after a lengthy hiatus.Across all emerging markets,the estimated li

71、kelihood of capital outflows over the next year has declined.Confidence in a soft landing for the global economy is growing against a backdrop of better-than-expected economic data in many parts of the world.Investors and central banks alike are expecting monetary policy to ease in the coming quarte

72、rs,as cumulative interest rate increases over the past two years are believed to have created monetary conditions sufficiently restrictive to bring inflation back to central banks targets.However,global inflation remaining persistently above those targets could challenge this narrative and may trigg

73、er instability.Recent oscillation of core inflation prints in some countries serves as a good reminder that the disinflation effort is not yet complete.So far,cracks in the financial systemunmasked by high interest rates during the monetary tightening cyclehave not ruptured further.Financial and ext

74、ernal sectors in major emerging markets have proven resilient throughout the interest rate upswing.Bank failures in Switzerland and the United States in March 2023 have not spread to other parts of the system,and soundness indicators for most financial institutions indicate continued resilience.Near

75、-term financial stability risks have therefore receded,and there is less of a downside risk to global growth in the coming year,based on the IMFs growth-at-risk framework analysis(Figure ES.3).The last mile of disinflation,however,may be complicated by several salient near-term financial fragilities

76、.United StatesEuro areaOther advanced economiesChinaEmerging markets excluding ChinaFigure ES.1.Financial Conditions Indexes(Standard deviations over long-term average)1.51.00.500.51.01.52.02.53.0October2023GFSR2020:Q1 20:Q321:Q121:Q322:Q122:Q323:Q123:Q324:Q1Sources:Bloomberg Finance L.P.;Dealogic;H

77、aver Analytics;national data sources;and IMF staff calculations.Note:GFSR=Global Financial Stability Report;Q=quarter.Equities,EMsexcluding ChinaLocal currency bonds,EMsexcluding ChinaLocal currency bonds,ChinaEquities,ChinaSources:Bloomberg Finance L.P.;Haver Analytics;national authorities,and IMF

78、staff calculations.Note:EMs=emerging markets.30502001010203040Jan.2023Mar.23May23Jul.23Sep.23Nov.23Jan.24Mar.24Figure ES.2.Emerging Markets Portfolio Flow Tracking Local Currency Bonds and Equities(Billions of US dollars)Source:IMF staff calculations.Note:est.=estimation.00.050.100.150.200.250.300.3

79、50.400.450.50Density for year 2024:at 2023:Q4Density for year 2024:at 2024:Q1(est.)FifthpercentileReal GDP growth(percent)3036Figure ES.3.Global Growth-at-Risk(Probability density)EXECUTIVE SUMMARYInternational Monetary Fund|April 2024xiGLOBAL FINANCIAL STABILITY REPORT:ThE LAST MILE:FINANCIAL VuLNE

80、RABILITIES ANd RISkSxiiInternational Monetary Fund|April 2024Salient Near-Term RisksCommercial real estate(CRE)prices have declined by 12 percent globally over the past year in real terms amid rising interest rates and structural changes after the COVID-19 pandemic,with the US and European office se

81、ctors having seen the largest declines.Although banks appear well positioned to absorb CRE losses in aggregate,certain countries may experience more strains given that their banks hold large amounts of CRE loans(Figure ES.4),especially if these holdings are concentrated in CRE segments experiencing

82、weak demand.Within a banking system,certain banks could suffer larger losses than others,in some cases exacerbated by issues such as less stable funding.Residential home prices have continued to adjust downward in most countries but generally remain above prepandemic levels.Declines in real house pr

83、ices have been driven by higher mortgage rates and have been more pronounced in advanced economies(2.7 percent year over year)than in emerging markets(1.6 percent).Still,household debt sustainability ratios are at modest levels globally,and a surge in residential mortgage defaults remains a tail ris

84、k.Volatility has declined to multiyear lows for most asset classes,likely reflecting increased optimism that the global rate hike cycle is near its end.The average correlation across equities,bonds,credit,and commodity indices in both advanced economies and emerging markets exceeds the 90th historic

85、al percentile.Low volatility has masked the fact that financial conditions have become more responsive in this hiking cycle than in past cycles to economic data releases,especially inflation releases.Sizable inflation surprises could abruptly change investor sentiment,rapidly decompressing asset pri

86、ce volatility and causing simultaneous price reversals among correlated markets,thus prompting a sharp tightening in financial conditions.Medium-Term VulnerabilitiesBeyond these more immediate concerns,medium-term vulnerabilities are building along the last mile.Both public and private debt continue

87、s to accumulate in advanced economies and emerging markets,which could exacerbate adverse shocks and worsen downside risks to growth down the road.Major emerging markets continue to show resilience.With central banks having tightened policy aggressively and early,inflation has eased markedly in many

88、 emerging markets,allowing some to start their cutting cycles.At this juncture,the key question is whether emerging market resilience is at a turning point.For example,there are signs that investors Source:IMF,Financial Soundness Indicators.Note:Data are as of the third quarter of 2023,except Italy

89、and Korea(2023:Q2),Australia and Germany(2023:Q1),and South Africa(2022:Q3).Ratio calculated using loans collateralized by commercial real estate,loans to construction companies,loans to companies active in the development of real estate in the numerator,and gross loans in the denominator.Some banki

90、ng systems would have substantially lower ratios if non-CRE loans collateralized by commercial properties were excluded.The ratio does not fully capture the inherent risks from CRE,which also depend on other fundamental factors such as vacancy rates.CRE=commercial real estate;Q=quarter.051015202530C

91、yprusMalaysiaKoreaLatviaBulgariaUnited StatesMaltaHungaryMacao SARJapanGermanySwedenDenmarkAustraliaSouth AfricaItalyUnited KingdomFranceSpainLuxembourgMexicoIrelandCanadaFigure ES.4.Bank CRE Exposures(Percent of total loans)ChinaHong Kong Special Administrative RegionG3Other major EMsSources:Bloomb

92、erg Finance L.P.;and IMF staff calculations.Note:EMs=emerging markets;G3=Group of Three.Jan.2020Jan.21Jan.22Jan.23Jan.2450607080900140150160Figure ES.5.Chinese Stock Markets under Pressure(Index=100 in December 2020)United StatesEuro areaJapanUnited Kingdom2002420024

93、Figure ES.6.Corporate Interest Rates Set to Go Up(Percentage points,billions of US dollars)543210123Blended yields-weighted average coupon(percentage points)00500600700Bonds maturing(billions of US dollars)Sources:Bloomberg Finance L.P.;S&P Capital IQ;and IMF staff calculations.Note:The s

94、ize of the bubbles corresponds to the size of the corporate bond market.ExECuTIVE SuMMARYxiiiInternational Monetary Fund|April 2024are increasingly focused on medium-term fiscal sustainability.With interest rates and deficits still high,inflation declining,and growth moderating,more emerging markets

95、 are currently experiencing high real refinancing costs relative to economic growth.The easing of global financial conditions has benefited frontier economies and low-income countries.High-yield sovereign spreads have outperformed investment-grade spreads in recent months after reaching historically

96、 high levels in 2023.This is occurring at a critical time,with a substantial number of hard currency bonds maturing over the next two years in many countries.With external markets having been effectively closed for many low-income developing countries in prior years,local banking institutions have s

97、ignificantly increased their holdings of sovereign debt,increasing potential risks from a sovereign-bank nexus.Chinas housing market downturn has shown few signs of bottoming out.Even though declines in new home prices have been moderate compared with housing-correction episodes in other countries,e

98、xisting home prices and activity measures such as starts,sales,and real estate investments have sharply declined.Reflecting the property market ailment as well as further disinflationary pressures and the slowing growth outlook,Chinas stock market has come under pressure in recent months(Figure ES.5

99、).The downturn in Chinese property and equity markets has caused heavy losses in parts of Chinas asset management industry,which could spill over to bond and funding markets.The steps authorities have taken to stabilize the markets since the third quarter of 2023 have yet to turn sentiments around.C

100、orporate credit spreads have narrowed since the October 2023 Global Financial Stability Report,although the recent rise in corporate earnings appears to be losing momentum in most parts of the world.Also,increasing evidence shows that cash liquidity buffers for firms in advanced economies and emergi

101、ng markets eroded further over 2023,owing to still-high global interest rates.As of the third quarter of 2023,the share of small firms with a cash-to-interest-expense ratio below 1 was around one-third in advanced economies and more than half in emerging markets.Sizable amounts of corporate debt wil

102、l mature in the coming year across countries at interest rates significantly higher than existing coupons,which could make refinancing challenging(Figure ES.6).Even though defaults are on the upswing,growth in corporate borrowing globally is recovering more rapidly in this hiking cycle than in previ

103、ous ones.Private credita rapidly growing market providing loans to midsize firms outside both the commercial bank sector and public debt marketshas helped fuel this trend(Figure ES.7).Chapter 2 identifies Rest of the worldEuropeNorth AmericaDry powder(undeployed capital)Figure ES.7.Private Credit Gr

104、owth(Trillions of US dollars)02.40.40.81.21.62.0200002040608022Source:Preqin.Note:The measure of assets under management includes those from private credit funds,business development companies,and middle-market collateralized loan obligations,with the last two being mostly US focused.Euro

105、 areaOther advanced economiesEmerging marketsChinaUnited StatesTotal number of banks(right scale)Sources:Visible Alpha;and IMF staff calculations.Note:Constructed based on historical data from the first quarter of 2018 to the third quarter of 2023 and consensus forecasts for the fourth quarter of 20

106、23(for banks for which actual data are not available)and for the first two quarters of 2024.KRI=key risk indicator.050050100150200Total assets(US$trillions)Number of banksForecastJun.2018Jun.19Jun.20Jun.21Jun.22Jun.23Jun.24Figure ES.8.Total Assets of Banks Flagged by Three orMore KRIs(Tri

107、llions of US dollars)2017202158(2017)536(2017)141(2021)Median90%quantile2,490(2021)Source:Advisen Cyber Loss Data;Capital IQ;and IMF staff calculations.Note:Green lines show the estimated posterior density function of the highest loss of all firms within a year.The solid(hollow)markers indicate the

108、median and 90th percentile in 2021(2017).0.0000.0200.0050.0100.01505001,0001,5002,0002,500Figure ES.9.Estimated Distribution of Maximum AnnualFirm Loss(Density,millions of US dollars)GLOBAL FINANCIAL STABILITY REPORT:ThE LAST MILE:FINANCIAL VuLNERABILITIES ANd RISkSxivInternational Monetary Fund|Apr

109、il 2024potential vulnerabilities of private credit markets,including relatively fragile borrowers compared with high-yield and leveraged finance markets,a growing share of semiliquid investment vehicles,multiple layers of leverage,stale and potentially subjective valuations,and interconnectedness ac

110、ross segments and players of financial markets.Some advanced economies will likely require heavy government bond issuances to fund fiscal deficits.With the Bank of England,European Central Bank,and US Federal Reserve conducting quantitative tightening at annual paces of 100 billion,212 billion,and$7

111、80 billion,respectively,along with the quantitative tightening programs being implemented by other central banks,the buyer base for government bonds has shifted.Most new marginal buyers of government bonds,such as hedge fundswhich buy bonds partly for leveraged trading strategies to capture the pric

112、e difference between bonds and futuresare arguably more price sensitive and more attuned to debt sustainability.This suggests more volatility in bond markets in the medium term.Some countries may find it increasingly difficult to service outstanding sovereign debt,which results in a“debt begets more

113、 debt”quandary.The majority of banks showed resilience during the March 2023 turmoil.Strong capital and liquidity buffers and improved profitability have lifted bank stock prices across countries since then.Looking ahead,however,IMF staffs key risk indicators suggest that a subset of banks remains v

114、ulnerable.Banks with aggregate assets of$33 trillion,or 19 percent of global banking assets,have breached at least three of the five key risk indicators(Figure ES.8).Chinese and US banks constitute most of this subset.For some Chinese banks,the breaches are driven by thinning capital ratios and conc

115、erns about deteriorating asset quality,whereas some large regional banks in the United States face multiple pressures.Among nonbanks,open-end bond funds,including ones focused on less liquid assets,have received large inflows in recent years.Excessive liquidity transformations that contributed to th

116、e global financial crisis and were evident at the start of the COVID-19 pandemic in March 2020 could reappear.With growing digitalization,evolving technologies,and increasing geopolitical tensions,cyber incidentsespecially those with malicious intentare a rising concern for macrofinancial stability.

117、Chapter 3 shows that although most losses from cyberattacks are modest,the risk of extreme losses has been increasing(Figure ES.9).The financial sector is particularly exposed to cyber risk,and although cyber incidents have not been systemic to date,they acutely threaten the financial system because

118、 of its exposure to sensitive data,high concentration,and technological and financial interconnectedness.Better cyber legislation and cyber-related governance arrangements at firms could help mitigate risks,but cyber policy frameworks often remain inadequateespecially in emerging market and developi

119、ng economies.Policy RecommendationsCentral banks should avoid premature monetary easing and appropriately push back against overly optimistic market expectations for policy rate cuts that could add to the easing of financial conditions and complicate the last mile of disinflation.Where progress on d

120、isinflation is enough to suggest that inflation is moving sustainably toward the target,central banks should gradually move to a more neutral stance of policy.Authorities should strengthen efforts to contain debt vulnerabilities,including in emerging market and frontier economies.In China,robust pol

121、icies to restore confidence in the real estate sector are critical.Supervisory and regulatory authorities should use appropriate tools,including stress tests and early corrective action,to ensure that banks and nonbank financial institutions are resilient to strains in commercial and residential rea

122、l estate and to the credit cycle downturn.Further progress on resolution frameworks and a readiness to apply them is critical to address the problems of weak or failing banks,without undermining financial stability or risking public funds.Quantitative tightening and the reduction in balance sheets n

123、eed to proceed with care.Central banks should carefully monitor market functioning issues and mobilize to address potential market stresses.Ensuring that banks are prepared to access central bank liquidity and intervening early to address liquidity stress in the financial sector can mitigate financi

124、al instability.Given the potential risks of the fast-growing private credit market,authorities should consider a more proactive supervisory and regulatory approach.It is key to close data gaps and enhance reporting requirements to comprehensively assess risks.Authorities should also ExECuTIVE SuMMAR

125、YxvInternational Monetary Fund|April 2024strengthen cross-sectoral and cross-border regulatory cooperation and make risk assessments consistent across financial sectors.A cybersecurity strategy can strengthen the cyber resilience of the financial sector,accompanied by effective regulation and superv

126、isory capacity,as well as by improved reporting of cyber incidents.Delivering critical services to address disruptions is crucial to limit potential damage to the financial system.Financial firms should develop and test response-and-recovery procedures to remain operational in the face of cyber inci

127、dents.Given the global nature and systemic implications of cyberattacks,cross-border coordination is crucial.Executive Directors broadly agreed with staffs assessment of the global economic outlook,risks,and policy priorities.They welcomed the continued global economic resilience and containment of

128、financial sector risks throughout the last two years,despite significant central bank interest rate hikes aimed at restoring price stability.Directors broadly concurred that the global economy may be approaching a soft landing but recognized that future growth is expected to be low by historical sta

129、ndards,reflecting still-high borrowing costs,a withdrawal of fiscal support,weak productivity growth,and continued geopolitical tensions.Most Directors also agreed that increasing geoeconomic fragmentation will weigh on medium-term growth,while a few Directors highlighted that trade diversification

130、will bring benefits.Directors regretted that,for many emerging market and developing economies,the subdued prospects for global growth imply a slower convergence toward higher living standards.Directors broadly considered that risks to the outlook are now more balanced,while emphasizing that importa

131、nt downside risks remain.In particular,they noted that supply disruptions and new price spikes stemming from geopolitical tensions could raise interest rate expectations and prompt a resurgence in volatility and sharp downturns in asset prices.Directors also emphasized that more persistent-than-expe

132、cted inflation could trigger capital flow movements,a sharp tightening of global financial conditions,exchange rate volatility,and may put external and financial sectors under pressure.They recognized the risk that the cooling effects of past monetary policy tightening could be yet to come.Directors

133、 noted growing stresses in the commercial real estate sector and residential housing markets in some countries.At the same time,they recognized upside risks to the outlook from several sources,including a faster-than-expected decline in inflation as well as growth and productivity gains from enhance

134、d structural reforms.Directors called on central banks to ensure that inflation returns to target smoothly,by avoiding easing policy prematurely.They emphasized that the pace of monetary policy normalization should remain data dependent,be tailored to country circumstances,and clearly communicated.W

135、here inflation and inflation expectations are approaching target,Directors agreed that central banks should gradually move to a more neutral policy stance to avoid inflation target undershoots.Noting elevated fiscal deficits and debt levels in many countries as well as rising debt service costs,Dire

136、ctors called for a gradual medium-term fiscal consolidation to ensure debt sustainability and rebuild room for budgetary maneuver,priority investments,and targeted social spending to protect the most vulnerable.The fiscal adjustment would also support the disinflation process.Directors emphasized th

137、at the pace of consolidation should depend on each countrys conditions and be embedded in a credible medium-term fiscal framework.They noted that historical data indicate that spending pressures could rise as a result of the record number of elections this year.In addition,Directors recognized that

138、many economies face important medium-term spending pressures stemming from aging population,climate change,and development needs.Most Directors agreed that countries should boost long-term growth by implementing well-designed,cost-effective fiscal policies that promote innovation and facilitate tech

139、nology diffusion.At the same time,Directors emphasized that these policies should avoid protectionist measures.Directors reiterated that continued accumulation of public and private debt in many economies constitute medium-term financial vulnerabilities.They stressed The following remarks were made

140、by the Chair at the conclusion of the Executive Boards discussion of the Fiscal Monitor,Global Financial Stability Report,and World Economic Outlook on April 3,2024.IMF EXECUTIVE BOARD DISCUSSION OF THE OUTLOOK,APRIL 2024International Monetary Fund|April 2024xvixviiInternational Monetary Fund|April

141、2024IMF ExECuTIVE BOARd dISCuSSION OF ThE OuTLOOk,APRIL 2024that regulatory authorities should use supervisory tools,including stress tests,to ensure that banks and nonbank financial institutions are resilient to credit risk and strains in commercial and residential real estate.Given potential new r

142、isks associated with rapid growth in private credit,Directors saw merit in considering a more proactive regulatory and supervisory approach,including enhancing reporting requirements.Noting that cyber incidents are a rising financial stability concern,they recommended better cyber-related governance

143、 arrangements and legislations.Directors emphasized the need for a full and timely implementation of Basel III.Directors agreed that targeted and carefully sequenced structural reforms are needed to raise medium-term growth prospects.They recommended reforms aimed at reducing the misallocation of ca

144、pital and labor,increasing female labor participation,enhancing education,strengthening governance,reducing excessive business regulation and restrictions on trade,and harnessing the potential of artificial intelligence.Directors also called for reforms to facilitate the green transition and build c

145、limate resilience,while managing energy security risks.Many Directors expressed support for regular coverage of climate issues in the Funds flagship reports.Directors emphasized that reinvigorating multilateral cooperation is crucial to limit the costs and risks of climate change,speed the green tra

146、nsition,safeguard the open and rule-based international trading system,facilitate debt restructuring processes,and strengthen the resilience of the international monetary system.Chapter 1 at a Glance Expectations that global disinflation is entering its“last mile”and monetary policy will be easing h

147、ave driven up asset prices worldwide since the October 2023 Global Financial Stability Report.Many emerging markets have shown resilience,and some frontier economies have taken advantage of buoyant risk appetite to issue international debt.The global economy appears increasingly likely to achieve a

148、soft landing,and cracks in the financial system exposed by high interest rates have not ruptured further.Near-term global financial stability risks have receded,according to the IMFs growth-at-risk framework.However,there are several salient risks along the last mile.Growing strains in the commercia

149、l real estate sector and signs of credit deterioration among corporates and in some residential housing markets could be exacerbated by adverse shocks.Stalling disinflation could surprise investors,leading to a repricing of assets and a resurgence of financial market volatility,which has been low de

150、spite considerable economic and geopolitical uncertainty.Beyond these more immediate concerns,other medium-term vulnerabilities are building,notably the con-tinued accumulation of debt in both public and private sectors.Some governments may find it difficult to service debt in the future,whereas the

151、 private sectors leveraged exposures to financial assets may foretell elevated financial stability risks in the coming years.Policy Recommendations Central banks should avoid easing monetary policy prematurely and push back as appropriate against overly optimistic market expectations for policy rate

152、 cuts.Where progress on disinflation is enough to suggest inflation is moving sustainably toward the target,central banks should gradually move to a more neutral stance of policy.Emerging and frontier economies should strengthen efforts to contain debt vulnerabilities.In China,it is critical to impl

153、ement robust policies to restore confidence in the real estate sector and avoid further conta-gion to other sectors of the financial system.Supervisory and regulatory authorities should use appropriate tools,including stress tests and early correc-tive action,to ensure that banks and nonbank financi

154、al institutions are resilient to strains in commercial and residential real estate and to the deterioration in the credit cycle.Authorities need to improve the breadth and reliability of the data used to monitor and assess the risks associated with the rapid growth of lending by nonbank financial in

155、stitutions to firms.Regulatory and crisis management tools for nonbank financial institutions need to be further developed.IntroductionFinancial market sentiment has been buoyant since the October 2023 Global Financial Stability Report.Interest rates are down globally,on balance;stock markets are up

156、 substantially,especially in advanced economies;and corporate and sovereign borrowing spreads have narrowed notably.Capital inflows have resumed for many emerging markets,and some frontier and low-income countries have taken advantage of strong investor risk appetite to issue sovereign bonds after a

157、 lengthy hiatus.The continued easing of global financial condi-tions has been driven by growing confidence in a soft landing for the global economy against a backdrop of better-than-expected economic data in many parts of the world.The quest for disinflation seems to be CHAPTER1FINANCIAL FRAGILITIES

158、 ALONG THE LAST MILE OF DISINFLATIONInternational Monetary Fund|April 20241GLOBAL FINANCIAL STABILITY REPORT:ThE LAST MILE:FINANCIAL VuLNERABILITIES ANd RISkS2International Monetary Fund|April 2024entering the“last mile,”with investors and central banks alike expecting monetary policy to ease in the

159、 coming quarters,considering that cumulative interest rate increases over the past two years are believed to have created monetary conditions sufficiently restrictive to bring inflation back to central banks targets.That said,the disinflationary momentum has slowed more recently in a number of count

160、ries,raising the question of whether central banks in these countries will be able to deliver the extent of monetary easing currently expected by investors.At the same time,cracks in the financial systemexposed during the tightening cycle by high interest rateshave not ruptured further.Major emergin

161、g markets have been resilient,and their financial and external sectors have proven strong throughout the interest rate upswing.Bank failures in Switzerland and the United States in March 2023 have not metas-tasized to other parts of the global financial system,and soundness indicators for most finan

162、cial institu-tions point to continued resilience.With the global economy increasingly likely to achieve a soft landing and the financial system proving resilient,near-term financial stability risks have receded.According to the IMFs growth-at-risk(GaR)framework,downside risks to global growth in the

163、 coming year have declined,although they remain somewhat elevated from a histor-ical perspective.The last mile of disinflation,however,may be complicated by several near-term,salient financial fragilities.Stress in the commercial real estate(CRE)sector has become more acute,with more borrow-ers like

164、ly in trouble,and with a number of banks around the world being scrutinized by investors over CRE-related loan losses.Financial market volatility appears too low compared with the elevated levels of macroeconomic and geopolitical uncertainty and valuation of many risk assets are increasingly stretch

165、ed,predicated on investor expectations for a relatively brisk monetary easing that may be tested by the bumps along the last mile.Upside inflation-ary surprises,for example,those driven by commod-ity price spikes and supply-chain disruptions,could challenge the benign disinflation narrative prevalen

166、t in markets and among policymakers.A resurgence of volatility and a repricing of risk assets would lead to a sharp tightening in financial conditions and hasten the deterioration of the credit cycle,triggering adverse feedback loops.Beyond these more immediate concerns,other medium-term fragilities

167、 are building up along the last mile.Both public and private debt continue to accumulate in advanced economies and emerging markets.For governments,the vulnerabilities lie with the servicing of historically high sovereign debt in an environment of large fiscal deficits as real economic growth may fa

168、ll below market expectations for real long-term interest rates,resulting in a“debt begets more debt”quandary(see the April 2024 World Economic Outlook projections).While the level of debt is projected to change little in some countries,this challenge could be more acute for others with still-rising

169、public debt.Elections to be held in a record number of countries in 2024 may also lead to fiscal“slippages”(see Chapter 1 of the April 2024 Fiscal Monitor).Interest rates would then become increas-ingly sensitive to sovereign debt issuance strategies and to central bank quantitative tightening progr

170、ams,posing a challenge for monetary policy to bring down inflation in the future.In some countries,banking sector health could be jeopardized by large exposures to sovereign debt.In addition,despite the recent improvement in credit market conditions,investor sentiment in China remains weak and may c

171、ontinue to weigh on the already distressed property and local government sectors.Further increases in financial vulnerabilitiesespecially higher debtalong with loose financial conditions could exacerbate downside risks to growth in the future(according to the IMF three-year-ahead GaR framework).With

172、 signs that reaching for yield is coming back amid expectations that interest rates will decrease in advanced economies in coming quarters,a rise in pri-vate financial and nonfinancial sector leverage could reemerge as a pressing financial stability concern.Cor-porations,even lower-rated ones,are fi

173、nding financ-ing easier to obtain through traditional means such as corporate bond markets,as well as through new chan-nels like private credit markets that are opaque to pol-icymakers(see Chapter 2).Trading strategies that use leverage to boost returns,such as bond basis trades or exotic stock opti

174、ons linked to Chinese stocks,have been popular among investors seeking to increase their wager by borrowing.The excessive liquidity transformations that made the global financial crisis so severe could reappear,with open-end bond funds receiving large amounts of inflows in recent months and with ill

175、iquid asset classes such as private credit CHAPTER 1 FINANCIAL FRAGILITIES ALONG ThE LAST MILE OF dISINFLATION3International Monetary Fund|April 2024now being marketed to retail investors.In addition to increasing vulnerability in the financial system,faster credit growth stimulates aggregate demand

176、,making disinflation more challenging.This debt and leverage buildup is forging ahead even while the financial system is still tussling with the ongoing turning of the credit cycle,which could be hastened if the last mile turns out to be lon-ger than expected.Many frontier and low-income countries a

177、re still experiencing financing stress,with little to no means of rolling over debt coming due.Around the world,more businesses and house-holds are set to default as they continue to grapple with high interest rates and tighter bank lending standards.More brittle segments such as CRE and weaker bank

178、s(see Chapter 2 of the October 2023 Global Financial Stability Report)are front and center in the battle against defaults.In the longer term,a reversal of financial globalization could reduce cross-border banking and investment flows,making the diversification of credit risk more challenging(see Cha

179、pters 3 and 4 of the April 2023 Global Financial Stability Report and World Economic Out-look,respectively).Monetary Policy and Financial Market DevelopmentsThe Expected Path of Monetary Policy Has Shifted Lower in Many EconomiesCentral banks have made notable progress in steering economies to stead

180、y disinflation,aided by positive supply-side improvements.Investors accord-ingly anticipate that major advanced economy central banks will pivot from monetary tightening to easing(Figure 1.1,panels 14).Market pricing suggests multiple policy rate cuts over the course of this year.In the United State

181、s,evidence of still-significant labor market tightness and oscillating core inflation data releases have prompted the Federal Reserve to push back against market expectations of aggressive rate cuts,joining the chorus of the European Cen-tral Bank and the Bank of England.1 Market pricing currently i

182、ndicates up to two rate cuts by the Federal Reserve,which are expected over the second half of 1Several Federal Reserve officials have reiterated the possibility of further rate increases to counterbalance recent easing of financial conditions amid a still-uncertain inflation outlook.the year,around

183、 three European Central Bank cuts by October,and one Bank of England cut by August.Japan remains an outlier,with markets pricing a gradual increase in the policy rate following the Bank of Japans exit from long-standing negative interest rate policy and other unconventional measures on the back of i

184、ts judgment that an achievement of price stability target came into sight.2 The Bank of Japans announcement did not elicit major market reactions as investors had reportedly anticipated these changes.In many emerging markets,policy expectations are also lower(Figure 1.1,panels 58;see the section“The

185、 Resilience of Major Emerging Markets May Be Tested”).As inflation has slowed,expectations of future inflation have fallen in the euro area but have risen some for the United States since the start of the year(Figure 1.2,panel 1).Core inflation remains above central bank targets in most countries,le

186、aving the global economy susceptible to inflationary shocks(for example,shocks arising from supply-chain disrup-tions).Pricing from inflation option markets reflects this uncertainty,with evidence signaling increased investor disagreement about future US inflation levels,expected over the next five

187、years(Figure 1.2,panel 2).Predicted odds of inflation moving below or above 2 percent over the next five years are almost the same.Analysts forecast surveys for the end of 2024 suggest that disagreement over the most likely inflation outcomes in the United States has increased since the October 2023

188、 Global Financial Stability Report(Figure 1.2,panel 3).Forecasts for real GDP reflect that expected US growth is meaningfully higher than euro area growth but is coupled with higher uncertainty(Figure 1.2,panel 4).Looking ahead,uncertainty about the path of expected policy rates remains elevated.Int

189、erest rate option prices indicate that the most likely level of the federal funds rate has declined and is now more or 2At its March meeting,along with hiking the short-term policy rate band to above zero(between 0 to 0.1 percent)for the first time since 2016,the Bank of Japan also abolished yield c

190、urve control,halted purchases of exchange-traded funds and Japanese real estate investment trust shares,and announced that gross Japanese government bond purchases will be conducted at broadly the same amounts as in the recent past while commercial paper and corporate bond purchases will be graduall

191、y reduced before being discontin-ued in about one years time.GLOBAL FINANCIAL STABILITY REPORT:ThE LAST MILE:FINANCIAL VuLNERABILITIES ANd RISkS4International Monetary Fund|April 2024less consistent with the level of the median projection for 2024 in the Federal Reserves latest Summary of Economic P

192、rojections(Figure 1.3,panel 1).For the euro area,the distribution of policy rate outcomes has also shifted leftwards since the October 2023 Global Financial Stability Report,reflecting an increas-ingly tepid growth outlook coupled with moderating inflation(Figure 1.3,panel 2).That said,uncertainty a

193、round the most likely outcome for the policy rate has narrowed marginally relative to October 2023 for the United States,whereas it has widened some for the euro area(Figure 1.3,panels 1 and 2).From a longer-term historical perspective,uncertainty about ratesproxied by swaption-implied volatility fo

194、r one-year rates,one year forwardremains elevated compared with the average before the COVID-19 pandemic,say,for both jurisdictions,albeit having compressed in recent months(Figure 1.3,panel 3).Longer-Term Interest Rates Have Declined GloballyGlobal long-term interest rates have declined,on net,sinc

195、e the October 2023 Global Financial Stability Report(Figure 1.4,panel 1),driven in both advanced economies and major emerging markets by both the lower expected path of policy rates(as discussed previously)and a compression of the term premiumcompensation required by investors to bear interest-rate

196、risk over long-maturity bonds(Figure 1.4,panel 2).LatestOctober 2023 GFSRLatestOctober 2023 GFSRLatestOctober 2023 GFSRLatestOctober 2023 GFSRLatestOctober 2023 GFSRLatestOctober 2023 GFSRLatestOctober 2023 GFSRLatestOctober 2023 GFSRFigure 1.1.Policy Rate Expectations:Selected Advanced and Emerging

197、 Market Economies(Percent)Market pricing expects most major central banks to cut rates this year.1.Federal Reserve0624135Sep.2023Mar.24Sep.24Mar.25Sep.25Mar.26Sep.26Mar.27Sep.272.European Central Bank052413Sep.2023Mar.24Sep.24Mar.25Sep.25Mar.26Sep.26Mar.27Sep.273.Bank of England0624135Sep.2023Mar.24

198、Sep.24Mar.25Sep.25Mar.26Sep.26Mar.27Sep.274.Bank of Japan0.21.20.20.600.40.81.0Sep.2023Mar.24Sep.24Mar.25Sep.25Mar.26Sep.26Mar.27Sep.275.Central Bank of BrazilSep.2023Mar.24Sep.24Mar.25Sep.25Mar.26Sep.26Mar.27Sep.27789101112136.National Bank of Poland07562413Sep.2023Mar.24Sep.24Mar.25Sep.25Mar.26Sep

199、.26Mar.27Sep.277.Reserve Bank of India07624135Sep.2023Mar.24Sep.24Mar.25Sep.25Mar.26Sep.26Mar.27Sep.278.Central Bank ofthe Philippines07624135Sep.2023Mar.24Sep.24Mar.25Sep.25Mar.26Sep.26Mar.27Sep.27Sources:Bloomberg Finance L.P.;Federal Reserve;national authorities;and IMF staff calculations.Note:GF

200、SR=Global Financial Stability Report.CHAPTER 1 FINANCIAL FRAGILITIES ALONG ThE LAST MILE OF dISINFLATION5International Monetary Fund|April 2024In the United States,term premiums have gyrated notably since the October 2023 Global Financial Stability Report.In September and October of 2023,an upward r

201、evision to the federal governments fiscal defi-cit and softer demand from traditional Treasury buyers such as banks and foreign reserve managers,weighed on US Treasury securities.The 10-year Treasury yield approached 5 percent at one point,driven by a term premium increase of around 70 basis points

202、as the sell-off that started in mid-September 2023 intensified(Figure 1.4,panels 2 and 3,light and dark blue por-tions of the bars).More specifically,a higher real risk premium component of the term premiumcapturing fiscal and economic uncertaintydrove up the term premium.3 Subsequent announcements

203、that Treasury securities issuances were lower than investor expecta-tions helped ease pressure on the real risk premium.That said,the current level of real risk premiums across future horizons remains elevated compared with 3The term premium may be decomposed further into two components:(1)the infla

204、tion risk premium,which reflects compen-sation related to future inflation uncertainty;and(2)the real risk premium,related to uncertainty about the future path of interest rates and the economic outlook,broadly encompassing developments in central bank balance sheets,as well as in the fiscal outlook

205、(see the October 2023 Global Financial Stability Report for more details).Euro area:Oct.2023 GFSRUnited States:Oct.2023 GFSREuro area:LatestUnited States:LatestBetween 12%Greater than 3%Between 23%Less than 1%United StatesUnited States:Oct.2023 GFSREuro areaEuro area:Oct.2023 GFSRUnited StatesUnited

206、 States:Oct.2023 GFSREuro areaEuro area:Oct.2023 GFSRFigure 1.2.Market-Based Inflation ExpectationsMarket expectations of inflation have fallen in the euro area and risen some for the United States.1.Inflation Swap Curves(Percent)2.002.752.252.50Tenor.with the outlook remaining uncertain

207、over the medium term.2.Option-Implied Probability of Different Inflation Outcomes(Percent over five years)0United StatesEuro areaLatestApr.2022Oct.22Apr.23Oct.23Apr.2022Oct.22Apr.23Oct.23LatestSurvey forecasts suggest a higher degree of disagreement around both inflation and growth outcom

208、es in the United States compared to the euro area,albeit with the most likely outcome for US growth at the end of 2024 forecast to be meaningfully higher.3.Distribution of Analysts Survey Forecasts:Headline Inflation at Year-End-2024(Probability density)00.60.10.20.30.40.5CPI0123454.Distribution of

209、Analysts Survey Forecasts:Real GDP Growth in Year-End-2024(Probability density)00.60.10.20.30.40.5Real GDP growth101234Sources:Bloomberg Finance L.P.;Federal Reserve;national authorities;and IMF staff calculations.Note:In panel 1,expected inflation rates based on swap prices contain a risk premium c

210、omponent.In panel 2,option-implied probabilities are computed from inflation caps and floors.Distributions in panels 3 and 4 are constructed from survey forecast responses,submitted by economists and market participants to Bloomberg.CPI=consumer price index;GFSR=Global Financial Stability Report.GLO

211、BAL FINANCIAL STABILITY REPORT:ThE LAST MILE:FINANCIAL VuLNERABILITIES ANd RISkS6International Monetary Fund|April 2024the end of the previous tightening cycle in January 2019(Blinder 2023),as well as to the average after the global financial crisis(Figure 1.4,panel 4;see also the section“Advanced E

212、conomy Government Bond Supply Will Likely Remain Large”).Such gyrations in the term premium have had global implications,as spillovers from US term premiums to those in other advanced economies and emerging markets have steadily risen in recent years.The premiums reached a new high after US fiscal c

213、oncerns in late 2023,according to the percent of variation methodology in Diebold and Yilmaz(2009)(Figure 1.4,panel 5).Co-movements among global longer-term interest rates could remain pronounced in the future.Asset Prices Have Rallied on the Basis of Buoyant Sentiment and Optimism about EarningsGlo

214、bal equity markets have experienced broad-based rallies since the October 2023 Global Financial Stability Report,with the largest gains in Japan and the United States(Figure 1.5,panel 1).By contrast,Chinese stocks have significantly underperformed,reflecting tepid economic performance as property ma

215、rket downturns remain a drag(see the section“Chinese Asset Prices Face a Difficult Turnaround amid Weak Sentiment”).European and US corporate bond markets have moved in sympathy with the stock market rally,with borrowing spreads narrowing consid-erably for both investment-grade and high-yield issuer

216、s(Figure 1.5,panels 2 and 3).October 2023 GFSRLatestOctober 2023 GFSRLatestMOVE IndexUSD 1y1y volatilityEUR 1y1y volatility201721 average2022latest averageFigure 1.3.Option-Implied Expectations of Policy RatesIn both the United States and the euro area,market pricing reflects rate cuts on average,bu

217、t uncertainty around most likely outcomes remains somewhat elevated.1.Option-Implied Probability Distributions of Federal Funds Outcomes(Percent by the end of 2024,probability density)00.10.20.30.401.02.03.04.05.06.07.08.09.0The leftward shift in rates distribution for the euro area reflects,in larg

218、e part,a tepid growth outlook coupled with moderating inflation.2.Option-Implied Probability Distributions of ECB Policy Rate Outcomes(Percent by the end of 2024,probability density)00.10.20.30.40.50.62.01.001.02.03.04.05.06.07.0Interest rates volatility,corresponding to the near term,remains elevat

219、ed for both the United States and the euro area.3.Evolution of Option-Implied Uncertainty Proxied by Near-Term Swaption Volatility and MOVE Index(Basis points,annualized)02505042017Sources:Bloomberg Finance L.P.;Federal Reserve;and IMF staff calculations.Note:In panels 1 and 2,

220、probability densities are based on short-dated interest rate swap options,denominated in US dollars and euros,respectively.In panel 3,the horizontal dashed lines represent the averages of the USD 1y1y volatility over the periods before and after January 2022.Short-term interest rate uncertainty is c

221、aptured by 1y1y at-the-money swaption-implied volatility.The ICE Bank of America MOVE index tracks the weighted average basket of at-the-money one-month options of 2-,5-,10-,and 30-year interest rate swaps.1y1y=one-year,one-year forward;ECB=European Central Bank;EUR=euro;GFSR=Global Financial Stabil

222、ity Report;MOVE=Merrill Lynch Option Volatility Estimate.CHAPTER 1 FINANCIAL FRAGILITIES ALONG ThE LAST MILE OF dISINFLATION7International Monetary Fund|April 2024USAJPNGBRDEUOct.2023 GFSRBRAPOLIDNMEXOct.2023 GFSRShort-term rate(average expected)Term premiumChange in yieldInflation risk premiumsReal

223、 risk premiumsExpected inflationReal expected short rateChange in yieldsSep.13,2023Oct.31,2023Average since the start of the GFC to January 2020July 2006:End of June 2004 to the June 2006 tightening cycleLatest:Real risk premiumsFeb.2019:End of previous tightening cycle(Oct.2015Jan.2019)Emerging mar

224、ketsAdvanced economiesUS September 2023 sell-offStart of QTFigure 1.4.Evolution of Long-Term RatesLong-term bond yields across major advanced and emerging market economies have declined,on net,since the October 2023 GFSR,in most cases,driven by a fall in expected path of short-term rates as well as

225、term premiums.1.Ten-Year Bond Yields:Advanced and Emerging Market Economies(Percent)2.Decomposing Changes in 10-Year Yields:Since October 2023 GFSRto Date(Basis points)05910111213However,over the period between the middle of September and the end of October 2023,term premiums exerted sign

226、ificant upward pressure on yields,reflecting fiscal concerns in the United States,mainly due to higher real risk premiums.3.Decomposing Changes in US 10-Year Yields:Mid-SeptemberSell-Off to Date(Basis points)020020406080Real risk premiums across future horizons are currently elevated comp

227、ared to the post-GFC average and following the end of the previous tightening cycle.4.Term Structure of US Real Risk Premiums:One-Year Forwards(Percent)0.52.50.51.501.02.0Apr.2022Nov.22Jun.23Jan.24Apr.2022Nov.22Jun.23Jan.24Advanced economiesEmerging marketsUSADEUGBRJPNBRAMEXPOLIND10-year 10-year 10-

228、year 10-year 10-year 10-year 10-year 10-yearChangefromSep.13toOct.31ChangefromOct.31toNov.30ChangefromNov.30toDec.28ChangefromDec.28toJan.31ChangefromJan.31toFeb.29ChangefromFeb.29toApr.5Changesince theOct.2023GFSR toApr.510-yearChange over selected subperiods1y1y2y1y3y1y4y1y5y1y6y1y7y1y8y1ySpillove

229、rs from gyrations in US term premium to those in other advanced economies and emerging markets appear to have also risen after the September 2023 sell-off,against the backdrop of historically elevated level of interest rate volatility.5.Spillovers from 10-Year US Term Premiums to Other Regions(Perce

230、nt)0700Sources:Bank of England;Bloomberg Finance L.P.;European Central Bank;Federal Reserve;ICE Bank of America;and IMF staff calculations.Note:In panel 3,the red ellipse indicates change in yield components from the mid-September 2023 sell-off to the end of October 2023.In panel 4,time p

231、eriods for Federal Reserve tightening cycles are based on Blinder(2023).Panel 5 reports spillovers from changes in US term premium to AE and EM term premium,respectively.Specifically,the measure of spillovers reported hereas per the methodology proposed by Diebold and Yilmaz(2009)is the proportion o

232、f variation in AE and EM term premium which may be explained by shocks emanating from US term premium.AEs include 20 countries(48 percent to GDP of all AEs)and 15 EMs,amounting to around 76 percent of total EM GDP.The spillovers shown here correspond to a 50-week rolling window.On average,over a lon

233、ger time period,spillovers to AEs have stood around 45 percent compared to 11 percent for EMs,albeit with significant variation over time.For instance,at the time of the taper tantrum,EM spillover was around 15 percent.AE=advanced economy;BRA=Brazil;DEU=Germany;EM=emerging market economy;GBR=Great B

234、ritain;GFC=global financial crisis;GFSR=Global Financial Stability Report;IDN=Indonesia;JPN=Japan;MEX=Mexico;POL=Poland;QT=quantitative tightening.20840204060GLOBAL FINANCIAL STABILITY REPORT:ThE LAST MILE:FINANCIAL VuLNERABILITIES ANd RISkS8International Monetary Fu

235、nd|April 2024Market expectations for a soft landing have been a major tailwind for asset prices.In the United States,this has led to positive earnings prospects for the corporate sector,driven by the mega technology stocks known as the Magnificent 7.These stocks have expe-rienced high price-to-earni

236、ngs ratios accompanied by investor optimism about medium-term earnings pros-pects(Figure 1.6,panel 1).In recent months,earnings optimism and the stock price rally have spread more widely through the market,as reflected by price appre-ciation of the Russell 2000 index since October 2023(Figure 1.6,pa

237、nel 2).A standard discount cash flow model(Bank of England 2017;IMF 2019)suggests that the rise in the overall S&P 500 index appears to have been driven,almost in equal parts,by improved earnings projections and investors stronger risk appe-tite(Figure 1.6,panel 3).That said,companies with strong ma

238、rgin power,mostly in the information tech-nology and materials sectors,have outperformed com-panies with weak margin power(Figure 1.6,panel 4).Companies with weak margin power have traditionally been more sensitive to inflation,but despite inflation having fallen from its peak in June 2022,recovery

239、by these companies has been sluggish thus far.Even crypto marketswhich have proven sensitive to risk sentimenthave rallied.Bitcoin prices have surpassed$70,000 for the first time in history,boosted by the recent approval of spot Bitcoin exchange-traded products(Figure 1.6,panel 5).On the back of the

240、 crypto recovery rally,market capitalization of crypto assets sur-passed$2.79 trillion in March 2024(Figure 1.6,panel 6;see also Box 1.1).If expectations of a soft landing and continued disinflation no longer remain the baseline for investors,then overall,any optimism in earnings projec-tions and bu

241、oyant risk sentiment could abruptly reverse,dragging stock prices down.Financial Conditions Have Eased,But Bank Lending Standards Have Tightened in Some CountriesSupported by investor optimism about a soft landing,lower long-term yields,and rallies in stock and corporate bond markets,financial condi

242、tions have eased,especially in advanced economies in most regions(Figure 1.7,panel 1).In emerging markets,modest volatility in exchange rates in recent quarters has translated into a lower price of external financ-ing risk,also modestly easing financial conditions(Figure 1.7,panel 2).In China,financ

243、ial conditions have eased slightly but remain somewhat tight by historical standards,as risk sentiment is weighed down by growth and property sector issues.In contrast with financial conditions,which sum-marize the price of risk in capital markets,bank JapanWorldEMsEMs excluding ChinaUnited StatesAE

244、sUnited StatesEuropeUnited KingdomUnited StatesEuropeUnited KingdomFigure 1.5.Asset Price RallyAdvanced economies have continued to outperform emerging market economies.1.Equity Performance of Advanced and Emerging Market Economies(Prices,Index on January 1,2023=100)955145155165Jan.2023Ap

245、r.23Jul.23Oct.23Jan.24Apr.24Investment grade bond spreads have narrowed in major AEs since the last GFSR.2.Investment Grade Corporate Bond Spreads(Basis points)900190210October2023GFSRJan.2023Apr.23Jul.23Oct.23Jan.24Apr.24.and even high-yield bonds have rallied.3.High-Yield Corporate Bond

246、 Spreads(Basis points)300350400450500550600650700October2023GFSRJan.2023Apr.23Jul.23Oct.23Jan.24Apr.24Sources:Bloomberg Finance L.P.;and IMF staff calculations.Note:Panels 2 and 3 are using option-adjusted spreads.AE=advanced economies;GFSR=Global Financial Stability Report;EMs=emerging markets.CHAP

247、TER 1 FINANCIAL FRAGILITIES ALONG ThE LAST MILE OF dISINFLATION9International Monetary Fund|April 2024IndicesTechMag 7S&P 500Russell 2000S&P 500 12-monthforward EPS growth(right scale)Russell 12-monthforward EPS growth(right scale)Risk-free rateEarnings(current and projected)Equity risk premiumsRetu

248、rnWeakStrongCPI(right scale)BitcoinEtherSolanaEtherStablecoinsOtherBitcoinS&P 500AEsEMsCanadaEuropeJapanLatinAmericaEMEAAsiaChinaWorldRussell 2000AMZNAAPLGOOGLTSLAMSFTMETANVDA:194Figure 1.6.Equity Valuation and Returns DecompositionValuations broadly respond to medium-term growth profiles.Year-over-

249、year growth in expected earnings have steadily increased since July 2023 for S&P 500 and Russell 2000.1.Price-to-Earnings Ratio versus EPS Growth Rate(202325 CAGR)(Price-to-earnings ratio;yearly EPS growth rate,percent)2.S&P 500 and Russell 2000 Expected Earnings Growth(Prices indexed at January 1,2

250、023=100,left scale;percent,right scale)254555905130135Since July 2022,S&P 500 returns have been supported by equity risk premium.3.Decomposition of Cumulative Returns for S&P 500(Percent)6000250300350Sectors with weak margin power hav

251、e not recovered despite inflation falling.4.Performance of Companies with Strong versus Weak Margin Power(Median price,indexed,March 31,2020=100,left scale;percent,right scale)0Forward P/E ratio01020304050Compound annual EPS growth rate,202325(percent)Jan.2023Apr.23Jul.23Oct.23Jan.242021J

252、uly2022July2023July2024Mar.2020Dec.20Sep.21Jun.22Mar.23Dec.23Bitcoin and other crypto-assets have recovered,fueled by the Bitcoin spot-ETP approval.5.Price of Selected Crypto Assets since Bitcoin Spot-ETP Approval(Percent change,indexed,January 10,2024=100)80230130180Overall market capitalization of

253、 crypto assets has increased significantly since the October 2023 GFSR.6.Market Capitalization of Selected Crypto Assets(Billions of US dollars)03,5005001,0001,5002,0002,5003,000Jan.10Jan.17Jan.24Jan.31Feb.7Feb.14Feb.21Feb.28Mar.6Mar.13Mar.20Mar.27204Sources:Bloomberg Finance L.P.;CoinGec

254、ko;Haver Analytics;Thomson Reuters;and IMF staff calculations.Note:In panel 1,Mag 7(Magnificent 7)includes Amazon,Apple,Alphabet(GOOGL,Alphabet Class C),Meta,Microsoft,Nvidia,and Tesla.In panel 3,strong(weak)margin power companies include the top(bottom)10th percentile of earnings before interest,ta

255、xes,depreciation,and amortization margin performers from the first quarter of 2020 to the second quarter of 2022 of current S&P 500 companies.AAPL=Apple Inc.;AEs=advanced economies;AMZN=A Inc.;CAGR=compound annual growth rate;CPI=consumer price index;EMs=emerging markets;EMEA=Europe,the Middle East

256、and Africa;EPS=earnings per share;ETP=exchange-traded product;GOOGL=Alphabet Inc.;META=Meta Platforms,Inc.;MSFT=Microsoft Corporation;NVDA=NVIDIA Corp;P/E=price to earnings;TSLA=Tesla,Inc.GLOBAL FINANCIAL STABILITY REPORT:ThE LAST MILE:FINANCIAL VuLNERABILITIES ANd RISkS10International Monetary Fund

257、|April 2024lending standardsmeasuring banks willingness to lendtightened sequentially in much of 2022 and 2023,especially in advanced economies(Figure 1.8,panels 13),amid concerns about deteriorating bor-rower risk profiles,expectations of economic slowdowns,and reductions in banks risk tolerance.Mo

258、re recently,tentative signs indicate that the tightening in lending standards has stabilized in Brazil,the euro area,and the United States.Historically,tighter standards appear to portend an ebbing of credit growth over the next year in some countries,most notably the United States,although this con

259、nection is more tenuous in others,including Brazil,Japan,and the Philippines(Figure 1.8,panels 2,4,and 6),as other factors such as the strength of loan demand and banking sector soundness attenuate the effect of lending standards on loan growth.Growth-at-Risk ForecastsNear-Term Downside Risk to Grow

260、th Has Receded SomewhatWith global financial conditions having eased and credit growth having changed little since the October 2023 Global Financial Stability Report,estimates based on the IMFs GaR framework suggest that downside risks to global growth for 2024 have receded some-what,with the balanc

261、e of risks to growth forecast to be broadly symmetrical.Downside riskspecifically as measured by the GaR metric4suggests that with 5 percent probability,global growth over 2024 could fall below+0.7 percent,although that is an improve-ment compared with the level in October 2023,which stood at just b

262、elow 0 percent(Figure 1.9,panel 1).From a historical perspective,the current level of fore-cast downside risk for the near term is still marginally elevated(Figure 1.9,panel 2).Medium-Term Downside Risk to Growth Remains ElevatedBy contrast,medium-term risks to growth appear far more elevated,sugges

263、ting an intertemporal risk 4The GaR framework assesses downside risks by gauging the range of severely adverse growth outcomes,falling within the lower fifth percentile of the conditional growth forecast distribution.This is referred to as the GaR metric.United StatesEuro areaOther advanced economie

264、sChinaEmerging markets excluding ChinaInterest ratesCorporate valuationsHouse pricesExternal financing riskIndexFinancial conditions have eased significantly since the October 2023 GFSR.1.Financial Conditions Indices(Number of standard deviations over the long-term average).driven by a further impro

265、vement in corporate valuations.2.Key Drivers of Financial Conditions Indices(Number of standard deviations over the long-term average)Sources:Bloomberg Finance L.P.;Dealogic;Haver Analytics;national data sources;and IMF staff calculations.Note:The IMF FCI is designed to capture the pricing of risk.I

266、t incorporates various pricing indicators including real house prices.Balance sheet or credit growth metrics are not included.For details,see Online Annex 1.1 in the October 2018 Global Financial Stability Report.To decompose the FCI into the four components of interest rates,corporate valuations,ho

267、use prices,and external financing risk,we make outside the model adjustments to FCI such that they ensure negative signs of the FCI,and lags in data do not give a contrary-to-actual interpretation.In such instances,the value of the FCI in the line chart(panel 1)might be marginally different from the

268、 one in the drivers chart(panel 2).AEs=advanced economies;EMs=emerging markets;FCI=Financial Conditions Index;GFSR=Global Financial Stability Report;Q=quarter.Figure 1.7.Financial Conditions Indices2023:Q123:Q223:Q323:Q424:Q12020:Q1 20:Q321:Q121:Q322:Q122:Q323:Q123:Q324:Q11.51.00.500.51.01.52.02.53.

269、0October2023GFSRUnitedStatesEuroareaOtherAEsChinaEMsexcludingChina1.51.00.500.51.01.52023:Q123:Q223:Q323:Q424:Q12023:Q123:Q223:Q323:Q424:Q12023:Q123:Q223:Q323:Q424:Q12023:Q123:Q223:Q323:Q424:Q1CHAPTER 1 FINANCIAL FRAGILITIES ALONG ThE LAST MILE OF dISINFLATION11International Monetary Fund|April 2024

270、trade-off.Easy financial conditions at present may prompt excessive risk taking and a buildup of financial vulnerabilities,leading to higher downside risk to growth in the coming years(Figure 1.9,panel 3,black dashed line).Possible shifts in this trade-off may be further illustrated by the following

271、 scenarios.First,if credit growth is held constant at current levels and financial conditions continue to ease to postpandemic lows,the GaR metric for the medium term would deteriorate to about its 20th historical percentile,with some marginal improvement for the near term(the yellow dotted line ind

272、icating Scenario 1 in panel 3 of Figure 1.9,panel 3).Second,if credit growth declines to its slowest pace since,say,1991,and financial conditions are held constant,near-term downside risk becomes elevated.Downside risk to growth is forecast to slightly lessen over the medium term,however,as ensuing

273、deleveraging could support financial stability over time(the white dotted line depicting Scenario 2 in Figure 1.9,panel 3;see also Box 1.2,which analyzes shifts in intertemporal risk trade-off for US growth in credit scenarios calibrated on periods after previous high-inflation periods).Salient Near

274、-Term RisksEven though downside risks have receded in the near term,a number of salient risks could challenge the health of the financial system,as outlined in the sections that follow.Euro area lending standards(+looser,tighter)Euro area loan growth(right scale)Japan lending standards(+looser,tight

275、er)Japan loan growth(right scale)US lendingstandards(+looser,tighter)US loan growth(right scale)Brazil lending standards(+looser,tighter)Brazil loan growth(right scale)Mexico lendingstandards(+looser,tighter)Mexico loan growth(right scale)Philippines lendingstandards(+looser,tighter)Philippines loan

276、growth(right scale)Lending standards have tightened across most countries and tighter standards typically forecasts lower loan growth.55025250252506.Philippines Lending Standards(One-Year Lead)versus Annualized Quarterly Corporate Loan Growth RateSources:National central banks;and IMF staff calculat

277、ions.Note:Lending standard series for individual jurisdictions are normalized by their respective standard deviations.Positive values indicate looser standards;negative values indicate tighter standards.1.Euro Area Lending Standards(One-Year Lead)versus Annualized Quarterly Corporate Loan Growth Rat

278、e2.Japan Lending Standards(One-Year Lead)versus Annualized Quarterly Corporate Loan Growth Rate3.United States Lending Standards(One-Year Lead)versus Annualized Quarterly Corporate Loan Growth RateStandard deviations550Standard deviations200709224200709224PercentPercent25250550

279、Standard deviations200709224Percent55025250Standard deviationsPercent4.Brazil Lending Standards(One-Year Lead)versus Annualized Quarterly Corporate Loan Growth Rate5.Mexico Lending Standards(One-Year Lead)versus Annualized Quarterly Corporate Loan Growth Rate2050Stan

280、dard deviationsPercent2050Standard deviationsPercent2012324Figure 1.8.Lending Standards and Loan Growth(Standard deviations and net percent of respondents)GLOBAL FINANCIAL STABILITY REPORT:ThE LAST MILE:FINANCIAL VuLNERABILITIES ANd RISkS12International Monetary Fund

281、|April 2024Commercial Real Estate Stress Has IntensifiedInvestors have been squarely focused on CRE,for which prices declined by 12 percent globally over the past year in real terms amid rising interest rates and slower economic growth in the United States and Europe.Notably,the US office sector dec

282、lined by a significant 23 percent,while that of Europe dropped by 17 percent(Figure 1.10,panel 1).By contrast,CRE prices in the Asia-Pacific region(excluding China)remained relatively stable on aggregate,as positive net operating income partially offset high debt-servicing costs.CRE price declines a

283、re driven by both higher global interest rates and postpandemic structural changes to CRE demand.5 The work-from-home 5Recent empirical studies(Deghi,Natalucci,and Qureshi,2022;Gupta,Mittal,and Van Nieuwerburgh 2022)highlighted that significant shifts in lease revenues,office occupancy,lease duratio

284、ns,and market rents attributed to remote work in the wake of the COVID-19 pandemic have had a significant effect on CRE valuations in addition to the effect of tighter financing conditions.Chapter 3 of the April 2021 Global Financial Stability Report also investigated the extent to which CRE prices

285、reflect economic fun-damentals and the implications of structural shifts in demand using a structural model for CRE valuations,finding that the median drop in fair values could reach 15 percent over five years after a permanent increase in the vacancy rate by 5 percentage points.trend has weighed on

286、 CRE transactions,particu-larly in major global cities(Figure 1.10,panel 2),fueling concerns over future occupier demand in the office sector.Vacancy rates continued to rise in 2023,and absorption ratesa measure of how quickly CRE supply is absorbed by demandhave been negative,hinting at persisting

287、upheaval in the sector(Figure 1.10,panel 3).Downside risks to CRE remain elevated as yields from owning CRE fall below the cost of financing CRE purchases with debt,weighing down property prices(Figure 1.10,panel 4).In a severely adverse scenario,with 5 per-cent probability,real CRE price declines o

288、ver the next three years could reach 20 percent in the Europe,Middle East,and Africa region and 23 percent in North America.In the office sector,prices could fall more than 25 percent(Figure 1.10,panel 5).Although the banking sector appears well positioned to absorb CRE losses on aggregate,some econ

289、omies could face painful losses,given the large size of the sector and its interconnectedness with the financial system and the broader economy(Figure 1.10,panel 6;see also the next section,“Concerns Are Mounting about Banks Exposures to Commercial Real Estate”).This is especially true in the United

290、 States,where CRE QuintilesWorstBestQuintilesWorstBestScenario 1Scenario 1Scenario 2Oct.2023 GFSRCurrentNear termMedium term1.Global Growth Forecast Densities for 2024(Probability density)2.Near-Term Growth-at-Risks Forecasts(Percentile rank)3.Term Structure of Growth-at-RiskForecasts:Near to Medium

291、 Term(Percentile rank)Sources:Bank for International Settlements;Bloomberg Finance L.P.;Haver Analytics;IMF,International Financial Statistics database;and IMF staff calculations.Note:The mode(that is,the most likely outcome)of the forecast density estimate accords with the October 2023 World Econom

292、ic Outlook forecast for year 2024,as of the third quarter of 2023.In panel 2,the black line traces the evolution of the fifth percentile threshold(the growth-at-risk metric)of near-term growth forecast densities.The color of the shading depicts the percentile rank for the growth-at-risk metric one y

293、ear ahead.Panel 3 depicts the term structure of growth-at-risk,starting from the near term and tracing out to the medium-term horizon,four years ahead.GFSR=Global Financial Stability Report;Q=quarter.02040608001002008 0222400.050.100.150.200.250.300.350.400.500.454-yearahead1-y

294、earahead2-yearahead3-yearaheadDensity foryear 2024:at 2023:Q4Density foryear 2024:at 2024:Q1Growth rate,percentFifthpercentile3036While downside risks over the near term have receded some,these remain relatively elevated for the medium term;reflecting an intertemporal risk trade-off as financial con

295、ditions ease(and downturn in credit growth plateaus).Figure 1.9.Global Growth-at-RiskCHAPTER 1 FINANCIAL FRAGILITIES ALONG ThE LAST MILE OF dISINFLATION13International Monetary Fund|April 2024DowntownSuburbanAllOfficeNominalRealNominalRealLatestEnd of 2022United StatesEuropean UnionCanadaUnited King

296、domEUR all-in borrowing costsUK all-in borrowing costsUK prime yieldEUR prime yieldCRE debtCRE property value(right scale)Figure 1.10.Developments in Global Commercial Real Estate MarketsThe CRE sector continued to reprice to higher interest rates in 2023.contributing to large declines in CRE liquid

297、ity,especially major cities.1.Private and Institutional InvestorOwned CRE Price Change(Percent,year-over-year)2.CRE Market Liquidity across Major Cities(Index)2000604020020403020406080Pandemic-related structural changes continue to depress demand for office properties.3.Office

298、Vacancy Rates and Absorption Rates(Percent)0205Elevated interest rates are pushing up debt costs.4.Real Estate Debt Cost and Prime Yields(Percent)Sources:AEW Capital Management;Bloomberg Finance L.P.;European Public Real Estate Association;Haver Analytics;MSCI Real Estate;Nareit;and IMF s

299、taff computations.Note:In panel 1,changes in private CRE properties(left scale)are computed as of the fourth quarter of 2023.Changes in valuation of high-quality properties owned by institutional investors(right scale)are computed as of January 2024.In panel 2,the liquidity score uses a combination

300、of absolute and relative measures to calculate market liquidity,including percentage of global cross-border investment,share of institutional investment,and volume and number of unique buyers.Larger values indicate higher liquidity.In panel 3,the absorption rate is calculated by dividing the number

301、of homes sold over a particular period by the total number of homes available for sale.The asterisk indicates data up to the third quarter of 2023 and the first half of 2023.Panel 5 shows the results from a CRE-prices-at-risk model based on Deghi,Mok,and Tsuruga(2021).Bars indicate the CRE price dec

302、line in a severely adverse scenario with a 5 percent probability(fifth percentile).Data labels in the figure use International Organization for Standardization(ISO)country codes.CRE=commercial real estate;EMEA=Europe,the Middle East,and Africa;H1=first half.increasing downside risks to CRE prices.5.

303、CRE-Price-at-Risk Model(Percent,three-years-ahead real cumulative growth)300200Given the large size of the sector,further price pressures could lead to painful economic losses.6.Estimated CRE Debt and CRE Properties Value(Percent of 2023 GDP)015050100GlobalEuropeUnited States Asia-Pacific

304、AllRetailOfficeResidentialIndustrialAllRetailOfficeResidentialIndustrialAllRetailOfficeResidentialIndustrialAllRetailOfficeResidentialIndustrialChange of institutional investorowned CRE priceEuropeUnitedStatesMexico CityGold Coast,AustraliaAucklandVancouverOttawaMalmoLuxembourgLiverpoolInner LondonH

305、elsinkiLisbonDistrict of ColumbiaYokohamaBrisbaneCopenhagenHamburgFrankfurtBeijingSan FranciscoBrusselsBirminghamMadridSingaporeChicagoDallasParis CentralSydneyTokyo-5 WardsVacancy rate203*203:H1Absorption rate2021:Q4 22:Q122:Q222:Q322:Q423:Q123:Q223:Q3EMEANorth AmericaAsia and

306、 PacificKORUSAJPNAUSEURGBRDEUESPFRAGLOBAL FINANCIAL STABILITY REPORT:ThE LAST MILE:FINANCIAL VuLNERABILITIES ANd RISkS14International Monetary Fund|April 2024debt is estimated at almost$6 trillion.6 US CRE prices saw some of the steepest price declines during this interest rate hike cycle relative t

307、o almost all past cycles(Figure 1.11,panel 1).7 Origination and refinancing of commercial mortgages remain challenging because of still-high interest rates,reduced property values,and risk aversion of banks(Figure 1.11,panel 2).Accord-ing to analyst estimates,of the$1 trillion of debt maturing in th

308、e US CRE market in 2024 and 2025,the refinancing gap exceeds$300 billion.Market-based CRE financing has also slowed dramatically,with the issuance of commercial mortgage-backed securities(CMBS)down 45 percent from the previous year and delinquencies of CMBS specializing in offices reaching 6.1 perce

309、nt,up from 1.5 percentage points a year ago(Figure 1.11,panel 3 and panel 4,left).Banks net charge-off rates for CRE loans also rose briskly(Figure 1.11,panel 4,right).Large near-term refinancing needs and further price declines could jeopardize the health of financial institu-tions with concentrate

310、d holdings in CRE.The share of real estate investment funds(REITs)major holders of US CRE propertieswith an interest coverage ratio(ICR)below 1that is,REITs with cash flows not covering debt paymentsincreased in 2023 relative to previous years(Figure 1.11,panels 5 and 6).8 A con-cern is that 15 perc

311、ent of REITs that specialize in the troubled office sector are potentially in debt distress,a 10 percentage point increase from the previous year.An easing in financial conditions could aid the recovery in CRE markets,as capital growth and finan-cial conditions are closely related(Deghi,Natalucci,an

312、d Qureshi 2022).Reduced interest rates should lower the financial burden on investors seeking to either fund fresh transactions or restructure existing 6In the United States,for example,current CRE net charge-offs represent a small fraction of the total loan portfolio(on aggregate,less than 1 percen

313、t).However,for some banks(including large banks),delinquency of nonowner-occupied loans over total CRE loans is above 5 percent,reaching up to 17 percent.7Part of the divergence in price behavior between recent and past cycles may be attributed to the steep pace of monetary policy tight-ening,a fact

314、or that has contributed to the sharp increase in mortgage rates and CMBS spreads.Tightening has also notably slowed private equity fundraising(Deghi,Natalucci,and Qureshi 2024).8The ICR is a metric widely used by practitioners to assess how easily firms can meet interest payments out of earnings.In

315、this analysis,ICR is calculated as the ratio of EBITDA(that is,earnings before interest,taxes,depreciation,and amortization)to interest expenses on outstanding debt.Any ICR below 1 is a signal of severe distress.Debt at risk is therefore defined as the amount of debt attributable to firms with an IC

316、R of less than one.loans,fostering increased investment in the sector.That said,the scale of past rate hikes,higher labor and material costs,and structurally lower occupancy rates in some sectors suggest that challenges within the CRE sector may endure.Concerns Are Mounting about Banks Exposures to

317、Commercial Real EstateCRE loans make up a sizable portion of total bank loans in a number of banking systems around the world(Figure 1.12,panel 1).Most banks appear to have adequate loan-loss reserves and capital buffers to absorb potential CRE losses,but some have come under investor pressure recen

318、tly.For example,the stock prices of a num-ber of banks around the world declined precipitously after they announced losses or provisions on their US CRE portfolios.As the CRE sector grapples with declin-ing property prices,rising vacancy rates,higher financing costs,and structural changes after the

319、pandemic,banks have tightened lending standards in both the euro area and the United States(Figure 1.12,panel 2).In the United States,where CRE loans make up about 18 percent of total bank loans,an estimated$277 billion in CRE loans will mature in 2024,$82 bil-lion of which are backed by office prop

320、erties(Mandtz,2023).The nonperforming CRE loan rate for US banks by the end of 2023 had doubled from a year earlier,reaching 0.81 percent from just 0.40 percent at the end of 2022.Over the past year,banks have continued to increase provisions for CRE nonperforming loans,albeit at a slower pace than

321、the rise in such loans.As a result,the CRE coverage ratiothat is,the ratio of loan-loss reserves to cover future losses to nonperforming loansfell to 154 percent from 200 percent for the banking sector,with a more pronounced decrease for US global systematically important banks than for other banks(

322、Figure 1.12,panel 3).Despite this decline,the cover-age ratio remains relatively high,suggesting that banks are anticipating higher delinquencies,defaults,and charge-offs within their CRE portfolios.Credit losses are expected to vary across CRE cate-gories,geographic regions,and bank sizes.The propo

323、r-tion of office loans with a high probability of default in major metropolitan areas,for example,indicates substantial regional differences.9 San Francisco,Seattle,9“The proportion of office loans with a high probability of default”refers to criticized rate,which is defined as the share of criticiz

324、ed office loans to total loans calculated by Mandzy(2023).CHAPTER 1 FINANCIAL FRAGILITIES ALONG ThE LAST MILE OF dISINFLATION15International Monetary Fund|April 2024CRE mortgageorigination(all)CRE mortgageorigination(multifamily)BanksCMBSLife CosOtherLarge loanSingle asset/single borrowerConduitCMBS

325、 maturingRetailOfficeMultifamilyIndustrialOtherDebt-at-risk20192022LatestDebt-at-risk20192022Latest62022237456620.US CMBS Private-Label Issuance(Billions of US dollars)4.CMBS Delinquency Rate and Banks Net Charge-Offs,by Property Type(Percent)5.

326、US REITs:ICR Distribution(Probability density)6.US Office REITs:ICR Distribution(Probability density)A decline in CRE valuation could put further pressure on financial institutions with concentrated holdings in the sector,like REITs.especially REITs owning and managing office space.and maturing CMBS

327、 have exceeded new issuance.while delinquencies in the office sector and bank net charge offs in multiple sectors surged.Sources:Bloomberg Finance L.P.;Haver Analytics;Mortgage Bankers Association;MSCI Real Estate;S&P Capital IQ;Trepp T-ALLR;and IMF staff computations.Note:Panel 2 shows a CRE loan o

328、rigination volume index by property type.The indexes are reported relative to the year 2001,with the average quarterly volume in that year defined as a value of 100.Panels 5 and 6 show the distribution of the ratio of EBITDA-to-interest rate expense(that is,ICR)across REITs and REITs specialized in

329、office space,respectively.Distribution is based on yearly average of ICR across US REITs.“Latest”refers to 2023 up to the third quarter.Debt-at-risk corresponds to the debt of firms with ICR below 1 debt at risk for(shaded area).CMBS=commercial mortgage-backed securities;CRE=commercial real estate;E

330、BITDA=earnings before interest,taxes,depreciation,and amortization;ICR=interest coverage ratio;Life Cos=life insurance companies;REITs=real estate investment trusts.1.CRE Price Trajectories during Rate Hike Cycles(Index=100 at beginning of cycle)2.US:Commercial Mortgage Origination Volume and Maturi

331、ng Debt(Index,left panel;trillions of US dollars,right panel)CRE valuations have plummeted more in the present monetary policy tightening cycle than in previous episodes.Commercial mortgage originations have declined.0.01.50.51.004012Trillions of US dollarsCRE loans charge offsIndex(2001=

332、100)DensityDensityQuarters of monetary policy tighteningEBITDA-to-interest expensesEBITDA-to-interest expensesCMBS delinquency rate 20078910 11 12 13 14 15 02223Maturing debt(202425)05003002019:Q120:Q121:Q122:Q123:Q12019:Q120:Q121:Q122:Q123:Q10.

333、000.050.100.150.200.250.000.100.200.300.4063047002004006008001,0001,2001,400Figure 1.11.Vulnerabilities in the US Commercial Real Estate MarketGLOBAL FINANCIAL STABILITY REPORT:ThE LAST MILE:FINANCIAL VuLNERABILITIES ANd RISkS16International Monetary Fund|April 2024US CRE C&DUS CRE nonfarm nonresidentialUS CRE multifamilyEuro area CRESmallMediumLarge nonGSIBGSIBNPL(right scale)Unsecured