BIS Quarterly Review
Monetary and Economic Department
Editorial Committee:
Claudio Borio Stijn ClaessensBenjamin Cohen Hyun Song Shin
General queries concerning this commentary should be addressed to Benjamin Cohen
(tel +41 61 280 8421, e-mail: ben.cohen@bis), queries concerning specific parts to the authors,
whose details appear at the head of each section, and queries concerning the statistics to
Philip Wooldridge (tel +41 61 280 8006, e-mail: philip.wooldridge@bis).
This publication is available on the BIS website (bis/publ/qtrpdf/r_qt1803.htm).
Bank for International Settlements 2018. All rights reserved. Brief excerpts may be
reproduced or translated provided the source is stated.
ISSN 1683-0121 (print)
ISSN 1683-013X (online)
BIS Quarterly Review, March 2018 iii
BIS Quarterly Review
March 2018
International banking and financial market developments
Volatility is back.........1
Equity market correction triggered by inflation concerns...2
Bond yields rise, but financial conditions stay loose.3
Box A: The equity market turbulence of 5 February – the
role of exchange-traded volatility products........4
Box B: The new US intermediate holding companies:
reducing or shifting assets..10
Continued dollar weakness...........12
Highlights feature: Common lenders in emerging Asia: their changing
roles in three crises...........17
Cathrine Koch and Eli Remolona
Lenders and borrowers in emerging Asia.......18
The Asian financial crisis.....20
The Great Financial Crisis...22
The European sovereign debt crisis.......24
Where emerging Asia finds itself today...........25
Conclusions.....26
Special features
Early warning indicators of banking crises: expanding the family.......29
Iaki Aldasoro, Claudio Borio and Mathias Drehmann
The rationale behind EWIs..30
Evaluating EWIs..........34
Box A:Evaluating EWIs: ROC curves, noise-to-signal ratios
and critical thresholds...........35
Assessing current vulnerabilities.40
Box B:What do EWIs tell us........42
Conclusion........43
iv BIS Quarterly Review, March 2018
Tracking the international footprints of global firms.......47
Stefan Avdjiev, Mary Everett, Philip R Lane and Hyun Song Shin
National accounts and global firms: measurement issues49
Box:A broad overview of the national accounting framework..50
Quantitative importance.....58
Conclusions.....63
Payments are a-changin’ – but cash still rules........67
Morten Bech, Umar Faruqui, Frederik Ougaard and Cristina Picillo
Card payments are booming….....69
…but cash still rules in many places.......71
What is driving cash demand.....73
Conclusions....76
Annex....80
The ABCs of bank PBRs.....81
Bilyana Bogdanova, Ingo Fender and Eld Takáts
Recent trends..82
Box:Bank valuation and price-to-book ratios (PBRs)........83
Modelling bank valuations.84
Extensions and robustness across time87
Conclusion.......89
Appendix.........93
Mortgages, developers and property prices97
Michael Chui, Anamaria Illes and Christian Upper
Developer debt in Asia........99
Risks and vulnerabilities...101
Conclusions..107
Appendix.......110。