(BPM6) and in accordance with legal requirements of the ECB and Eurostat. Germany also participates in the IMF Coordinated Direct Investment Survey (CDIS), Coordinated Portfolio Investment Survey (CPIS), and the BIS Securities Statistics database. In addition, the Bundesbank reports quarterly gross external debt position data to the World Bank’s Quarterly External Debt Statistics (QEDS) database, and compiles and disseminates monthly reserve template and monthly official reserve data. Financial Soundness Indicators Germany is participating in the Coordinated
bond yields, the benchmark 10 year bond yield data available from Bloomberg are used. The 42 sample countries shown in Appendix 1 are chosen on the basis of availability of the data through the CPIS, IIP, and Bank for International Settlements (BIS) securities statistics. 7 As pointed out in section II , to address the concern over potential bias, this paper calculates adjusted correlation coefficients. The adjusted correlation ρ t is calculated as in equation (1) . ρ t = ρ t c 1 + δ
GDP 4/ Chile 49.4 71.1 123.9 6.1 New Zealand 85.3 141.7 26.5 7.4 Peru 25.8 24.6 47.5 9.8 Uruguay 43.1 18.3 0.3 22.2 Source: countries’ authorities, Federacion Iberoamericana de Bolsas, New Zealand Exchange, BIS and IMF staff calculations. 1/ As of June 2010. 2/ As of July 2010 3/ International debt securities of all issuers (amortizations outstanding) from BIS Securities Statistics (Table 12A) as of June 2010. 4/ 2010 GDP taken from WEO forecasts. 28. A set of VARs
: countries’ authorities, Federación Iberoamericana de Bolsas, New Zealand Exchange, BIS and IMF staff calculations 1/ As of November 2010. 2/ As of December 2010. 3/ International debt securities of all issuers (amortizations outstanding) from BIS Securities Statistics (Table 12A) as of Dec. 2010 4/ 2010 GDP taken from WEO forecasts. To formally evaluate whether the development of domestic credit markets may affect the transmission of monetary policy, the paper undertakes a set of exercises considering again the benchmark VAR model
(for details, see Appendix box and IMF, 2011d ). Of course, this measure only captures total financial stocks as one proxy for depth and needs to be augmented with additional information to shed light on possible use in global transactions—related to whether these claims are denominated in local or foreign currency and are freely traded, among others. Figure 11: Share of MSCI World Index, Domestic and International Debt Outstanding 1/ end-January of 2000 and 2010 Sources: MSCI, BIS - Securities statistics and syndicated loans. Offshore markets
.5 74.3 154.2 6.3 New Zealand 82.2 142.8 29.3 7.4 Peru 32.3 24.5 67.4 10.2 Uruguay 44.8 20.9 0.4 21.9 Sources: Bank for International Settlements (BIS); country authorities; Federacion Iberoamericana de Bolsas; New Zealand Exchange; and authors’ calculations. 1 As of November 2010. 2 As of December 2010. 3 International debt securities of all issuers (amortizations outstanding) from BIS Securities Statistics (Table 12A) as of December 2010. 4 2010 GDP taken from IMF World Economic
issuance. For around 70 participating economies, the CPIS provides the level and geographical breakdown of portfolio investment holdings. A few of the countries in our sample (for example Bermuda) participate in the CPIS, and this allows us to use these data. For non-participating countries, we can use CPIS data to infer the level of portfolio liabilities of small financial centers, by adding up the claims on these centers that CPIS-participating countries report. BIS securities statistics report the total amount of international debt securities issued in various