Sovereign asset and liability analysis
Fund assets, reserves, debt and guarantees are set on one balance sheet by currency, maturity and liquidity, so that mismatches a debt figure alone hides become visible.
GRA · Sovereign Capital Nexus
空间金融资本与危害、风险暴露和转型的交汇之处
Financial economics for sovereign balance sheets
Financial economics traces how shocks reach sovereign balance sheets through prices, rates and balance sheet links: commodity revenue, portfolio losses, rising borrowing costs and the ties between banks, state enterprises and the sovereign. It is the main lens for reading sovereign wealth and sovereign debt together.
02申请
What financial economics and macro-finance does here.
Financial economics and macro-finance study how asset prices, credit and financial institutions interact with the real economy. They explain how shocks are amplified or absorbed through balance sheets and markets. In sovereign and public finance and capital markets and investment, financial economics traces how physical, health or cyber shocks transmit to credit, sovereign debt and markets. It informs 宏观审慎政策 and the pricing of risk. The canonical description is on STEM Commons.
Sovereign, bank and enterprise feedback
Domestic banks’ holdings of government bonds and the government’s guarantees to banks and enterprises are mapped, to trace how distress in one balance sheet moves to the others.
Asset-liability stress testing for funds
Market, commodity and interest rate shocks are applied jointly to fund portfolios and fiscal financing needs, to see whether liquid assets cover withdrawals when markets fall.
03监测
计量经济模型。
团队遵循该方法时会使用的界面：其指标、状态与决策。名称为示例，数值仅作示意。
计量经济模型
Sovereign capital · Financial economics for sovereign · Run R-3774
估计值稳定GRA · Sovereign Capital Nexus
估计值
稳健标准误
| Assets under management | 0.31 | 0.16 | [0.0, 0.8] | 是 |
| Liquidity tranche cover | 0.21 | 0.16 | [−0.1, 0.7] | 否 |
| Drawdown in severe scenario | 0.19 | 0.10 | [−0.3, 0.3] | 否 |
| Domestic investment share | 0.15 | 0.05 | [0.0, 0.3] | 否 |
方法卡
- 方法
- 金融经济学与宏观金融
- 样本
- 10,079 obs
- 设计
- 面板，固定效应
- 标签
- 模型估算
按组别的残差
04数据
该方法使用的输入。
Datasets and records used by financial economics and macro-finance on this platform, with the role each plays and the label its values carry. Sources are listed in 来源登记册.
| 数据 | 角色 | 标签 |
|---|---|---|
| Debt securities statistics and sovereign yields | Borrowing cost and refinancing conditions | 观测 |
| Public sector balance sheet data | Assets, liabilities and net worth | 估算 |
| Fund annual reports | Allocation, returns and liquidity | 已报告 |
| Bank holdings of government debt | Sovereign and bank exposure | 已发布统计 |
| IMF COFER and CPIS | Reserve currency and portfolio exposure | 已发布统计 |
05情景模型
主权债务路径与突破阈值的可能性。
债务路径的分布，以及期末超过关注阈值的份额，是主权投资者和评级分析师从扇形图中读取的内容。这是带有明示示意数值的教学模型，不是预测。
- 中位数、25% 至 75% 区间和 10% 至 90% 区间
- 无冲击
控制措施
- 当前债务
- 占 GDP 的 70%
- 有效名义利率
- 5.0%
- 名义 GDP 增长
- 4.5%
- 基本余额
- 占 GDP 的 −0.5%
- 增长的波动性
- 2.0 个点
- 利率的波动性
- 1.0 个点
- 未来年数
- 10 年
- 关注阈值
- 占 GDP 的 90%
读数
- 时间跨度末的债务中位数
- 占 GDP 的 78%
- 期末高于阈值的路径
- 2%
- 稳定债务的基本余额
- 占 GDP 的 0.3%
数字、方法与来源
| 年份 | 10% | 25% | 中位数 | 75% | 90% |
|---|---|---|---|---|---|
| 0 | 70.0 | 70.0 | 70.0 | 70.0 | 70.0 |
| 1 | 68.8 | 69.7 | 70.9 | 71.8 | 72.8 |
| 2 | 68.9 | 70.1 | 71.6 | 73.1 | 74.7 |
| 3 | 69.3 | 70.6 | 72.3 | 74.3 | 76.1 |
| 4 | 69.5 | 71.1 | 72.9 | 75.4 | 77.6 |
| 5 | 69.9 | 71.7 | 74.0 | 76.6 | 78.8 |
| 6 | 70.1 | 72.1 | 74.8 | 77.8 | 80.4 |
| 7 | 70.6 | 73.1 | 76.0 | 78.9 | 81.9 |
| 8 | 71.1 | 73.7 | 76.6 | 79.8 | 82.9 |
| 9 | 71.4 | 74.4 | 77.5 | 80.5 | 84.4 |
| 10 | 72.1 | 75.1 | 78.3 | 81.8 | 85.7 |
方法
- 债务动态与利率增长差 Blanchard（2019），《公共债务与低利率》，American Economic Review 109
- 随机扇形图 Celasun、Debrun 和 Ostry（2006），IMF Staff Papers 53
- 主权风险与债务可持续性框架 IMF (2022), Staff Guidance Note on the SRDSF
数据
No observed data enters this model: it runs on the teaching values set by the controls, to be replaced with a programme’s own evidence.
贯穿六大支柱，由 Nexus Consortium 牵头
06验证
结果如何核查。
Models are back-tested against historical market episodes and crises. Results are compared with supervisory data and alternative specifications.
| 核查 | 如何开展 |
|---|---|
| Back-testing on past episodes | Stress scenarios are rerun on historical commodity, rate and market shocks and compared with what happened to funds and budgets |
| Correlation stability | Correlations between fund returns and borrowing costs are estimated separately for calm and stress periods |
| Accounting boundary | Every consolidated view states which entities and instruments it includes and how assets are valued |
| Independent replication | A second analyst reproduces key results from the stated data and code |
Relationships estimated in calm periods may break down in stress. Hidden leverage and interconnections are often unobserved.
07风险暴露、损失与资本
What financial economics for sovereign balance sheets means for exposure, loss and capital.
风险官、监管者或财政部会要求的风险暴露、损失、情景和资本视图，以及它们据以报告的框架。结构遵循监管和精算实务。数值为说明性：绝非价格、评级或建议。
资本、偿付能力和财政指标
The indicators a risk officer, supervisor or ministry of finance reads first on financial economics for sovereign balance sheets.
| 指标 | 单位 | 谁来阅读 | 框架 |
|---|---|---|---|
| 公共债务 | 占 GDP 的 % | 财政部、IMF | 债务可持续性框架 |
| 总融资需求 | 每年占 GDP 的 % | 财政部、投资者 | 债务可持续性框架 |
| 或有负债 | 占 GDP 的 %，按来源划分 | 财政部门 | 财政风险声明 |
| 利息占收入的比重 | 占收入的百分比 | 财政部、评级使用方 | 公共财政统计 |
| 主权利差 | 高于基准的基点 | 投资者、债务管理者 | 市场数据 |
| CET1 比率 | 占风险加权资产的百分比 | 银行、监管机构 | 巴塞尔框架 |
| 流动性覆盖率 | 压力流出的 % | 银行、中央银行 | 巴塞尔框架 |
NGFS 气候情景 · 央行与监管机构绿色金融网络IFRS S2 气候相关披露 · ISSBTCFD 建议 · 金融稳定理事会 TCFD有效管理气候相关金融风险的原则 · 巴塞尔银行监管委员会
09管理责任
由谁维护该方法。
金融稳定 stewards financial economics and macro-finance for the Consortium and reviews how it is applied across platforms.
10已关联
本页在整个联合体中通向何处。
11问题
问题与解答。
What are the limits of financial economics and macro-finance in this field?
Relationships estimated in calm periods may break down in stress. Hidden leverage and interconnections are often unobserved.
结果如何核查？
Models are back-tested against historical market episodes and crises. Results are compared with supervisory data and alternative specifications.
本页面上的数值是真实的吗？
The data names, roles and checks are real descriptions of practice. The canvas shows a design of the method’s use, not a run; no result is reported here.
该方法还应用于何处？
维持社会运转的各个 规范方法页面 列出应用该方法的每个平台。
报告贡献
从本页贡献证据。
报告 is the Consortium’s quarterly publication. What you know about this subject can become evidence, a case or a correction in the next edition, credited to you and published under CC BY 4.0 where it is your own work.
全球风险联盟（Global Risks Alliance）Sovereign Capital Nexus金融与保险准备度
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法律
法律文件。
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