- Paul Hilbers, Alfredo Leone, Mahinder Gill, and Owen Evens
- Published Date:
- April 2000
© 2000 International Monetary Fund
Production: IMF Graphics Section
Typesetting: Alicia Etchebarne-Bourdin
Library of Congress Cataloging-in-Publication Data
Macroprudential indicators of financial system soundness/by a staff team led
by Owen Evans…[et al.].
p. cm.—(Occasional paper; no. 192)
- Includes bibliographical references.
- ISBN 1-55775-891-3
1. Financial institutions—Auditing. 2. Bank examination. I. Evans, Owen, date. II. International Monetary Fund. III. Occasional paper (International Monetary Fund); no. 192.
HF5686.F46 M333 2000
(US$15.00 to full-time faculty members and students at universities and colleges)
Please send orders to:
International Monetary Fund, Publication Services
700 19th Street, N.W., Washington, D.C. 20431, U.S.A.
Tel.: (202) 623-7430 Telefax: (202) 623-7201
- List of Abbreviations
- I Overview
- II Indicators for Macroprudential Surveillance
- III Literature Survey
- IV Work Programs of Other Institutions
- V IMF Initiatives
- VI Measurement Issues
- VII Macroprudential Indicators and Data Dissemination
- I Existing Data Collection frameworks
- II Special Data Dissemination Standard and General Data Dissemination System
- I1. Main Conclusions of the Consultative Meeting on Macroprudential Indicators and Data Dissemination
- II 1. Summary of Macroprudential Indicators
- III 2. Macroprudential Indicators in a Selection of Recent Studies
- IV 3. Comparative Listing of Indicators Used by Selected Country Authorities
- VI 4. Statistical Issues Affecting MPIs
The following symbols have been used throughout this paper:
- … to indicate that data are not available;
- — 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, 1998–99 or January-June) to indicate the years or months covered, including the beginning and ending years or months;
- / between years (for example, 1998/99) to indicate a crop or fiscal (financial) year.
“Billion” means a thousand million.
Minor discrepancies between constituent figures and totals are due to rounding.
The term “country,” as used in this paper, does not in all cases refer to a territorial entity that is a state as understood by international law and practice; the term also covers some territorial entities that are not states, but for which statistical data are maintained and provided internationally on a separate and independent basis.
The international financial turmoil of the second half of the 1990s has provoked much reflection and analysis within the international community on ways to strengthen the international financial system. Together with other international organizations, national authorities, and the private sector, the IMF has been working on a series of initiatives intended to contribute to a more stable and efficient financial system, and toward better preparedness to address future systemic problems. Among these initiatives are the ongoing efforts to develop and use macroprudential indicators—defined broadly as indicators of the health and stability of financial systems. This paper aims to lake stock of current knowledge in the area of macroprudential indicators—notably, analytical, identification, and measurement issues—with a view to providing reference material for national authorities, the private sector, and other users of macroprudential indicators. The paper also looks at issues related to the use of macroprudential indicators in IMF surveillance, and possible ways to encourage their dissemination through the IMF Special Data Dissemination Standard or in other ways.
The material in this paper was originally prepared for discussion at a September 1999 consultative meeting at the IMF with high-level experts from central banks, supervisory agencies, international financial institutions, academia, and the private sector. A revised paper reflecting the results of the consultative meeting was used in discussions in the IMF’s Executive Board in January 2000. The final paper has further benefited from comments by Executive Directors and colleagues in the IMF.
The paper was prepared under our direction by a joint staff team led by Owen Evans, Alfredo M. Leone, Mahinder Gill, and Paul Hilbers, and consisting of Winfrid Blaschke, Russell Krueger, Marina Moretti, Jun Nagayasu, Mark O’Brien, Joy ten Berge, and DeLisle Worrell. We would like to pay a special tribute to the late Owen Evans, who together with V. Sundararajan, was a major initiator of this project. We would like to thank Helen Chin of the External Relations Department for editing and coordinating production of this Occasional Paper. The views expressed in this paper are those of IMF staff and do not necessarily reflect the views of national authorities or of IMF Executive Directors.
Carol S. Carson
Monetary and Exchange Affairs
List of Abbreviations
Basel Committee on Banking Supervision, BIS
Bank for International Settlements
Banking Supervision Committee, ECB
Committee on the Global Financial System, BIS
Committee on Payment and Settlement Systems, BIS
Dissemination Standards Bulletin Board
European Central Bank
Economic and Monetary Union, EU
European System of Accounts, 1995
European System of Central Banks
Federal Deposit Insurance Corporation
Financial Institutions Monitoring System
Financial Sector Assessment
Financial Sector Assessment Program
Financial Stability Forum
Financial System Stability Assessment
Group of Seven
Group of Ten
General Data Dissemination System
Growth Management System
International Association of Insurance Supervisors
International Organization of Securities Commissions
Monetary and Exchange Affairs Department, IMF
Monetary Union Financial Accounts
Office of the Comptroller of the Currency
Organization for Economic Cooperation and Development
Special Data Dissemination Standard
System of National Accounts
System of National Accounts, 1993
Statistics Department, IMF
Uniform Bank Surveillance System
Value at Risk