Financial Stress in Home and Recipient Economies
Citation: Analytical Notes 2020, 001; 10.5089/9781513550336.064.A001Sources: Bloomberg Finance L.P.; Dealogic; Haver Analytics; Moody’s Analytics CreditEdge; and IMF staff calculations.Note: Panel 1 shows the average expected default frequency (EDF) of banking systems for a sample of 24 home economies based on the October 2019 Global Financial Stability Report, Chapter 5. Panel 2 shows the average bank EDF for a total of 27 recipient economies. Panel 3 shows the relationship between the change in the domestic financial conditions index (FCI) during 2020:Q1 and the change in the cross-currency basis (CCB) calculated as the difference between the average value during the period March 11—18, 2020, and the last week in December 2019 covering all economies (both home and recipient) with available data for a total of 19 observations. The slope of the fitted line is statistically signficant at the 10 percent level (p-value=0.06) in panel 3. Panel 4 shows the change in the share of US dollar lending in total syndicated lending (between end-December 2019 and end-March 2020) against the change in the average CCB during December 24–31, 2019, and March 11–19, 2020, controlling for the average US dollar lending share in 2019 for both advanced economy (AE, red dashes) and emerging market (EM, green dashes) borrowers. Each dot represents a lending country. The sample includes Australia, Canada, China, Denmark, the euro area, Hong Kong SAR, India, Japan, Korea, Malaysia, Norway, Singapore, Sweden, Switzerland, and the United Kingdom. The slope of both fitted lines is statistically significant at the 5 percent level. Fed = Federal Reserve; USD = US dollar; WHO = World Health Organization.