Section 1 Shocks to the UK financial system.ppt

Section 1 | Shocks to the UK financial system Section 1 | Box 1 SECTION 1 : BOX 2 * Chart 1.1 Official and forward interest rates(a) Sources: Bloomberg and Bank calculations. (a) Solid lines are official, dotted lines are one-week forward rates Chart 1.2 US nominal interest rate volatility(a) Sources: Bloomberg and Bank calculations. Annualised one-month volatility of daily changes in the one year ahead US nominal overnight forward rate. Chart 1.3 Average implied volatilities of equity prices and exchange rates(a) Sources: BBA, Chicago Mercantile Exchange, Eurex, Euronext.liffe and Bank calculations. (a) Standard deviation of distribution of returns based on three-month options. (b) July 2006 Report. Simple average of €/￡, $/￥, €/$ and ￡/$. Simple average of SP 500, Euro Stoxx 50 and FTSE 100 Chart 1.4 Yen carry trade ‘attractiveness’ Sources: Bloomberg, Chicago Mercantile Exchange, Commodity Futures Trading Commission, UBS and Bank calculations. (a) Spread between US and Japanese three-month interest rates per unit of implied volatility of the US$/￥ exchange rate. Dashed line based on implied forward rates. (b) July 2006 Report. (c) Six-month average of number of non-commercial short yen contracts as a proportion of total number of yen contracts Chart 1.5 Asset prices during recent market turbulence(a) Sources: Bloomberg, Merrill Lynch, MSCI, Thomson Datastream and Bank calculations. (a) Rebased to 100 on 26 February 2007. Chart 1.6 Foreign exchange reserve accumulation(a) and real interest rates Sources: Bloomberg, IMF International Financial Statistics and Bank calculations. (a) IMF definition (total reserves minus gold). (b) Seven and a half year spot real interest rate. (c) Latest data end-November for ‘other large oil exporters’ and ‘rest of world’. Chart 1.7 Real cost of capital for UK PNFCs (a) Sources: Bloomberg, Merrill Lynch, Thomson Datastream and Bank calculations. (a) Private non-financial corporations. (b) Risk-free