2012年-IMF国际货币组织全球_United_Arab_Emirates_Selected_Issues_and_Statistical_Appendix_43页_1mb

United Arab Emirates: International Spillovers and Vulnerabilities to a Worsening Global Financial Outlook

Core Content

This document, prepared by the International Monetary Fund (IMF) staff team in April 2012, examines the impact of global financial conditions on the United Arab Emirates (UAE) financial system, including the equity markets, sovereign risk, banking sector, and corporate sector. It highlights that although financial vulnerabilities have decreased since the 2008 global real estate crisis, the UAE remains highly exposed to global financial developments due to its deep integration with international markets.

Main Points

1. Equity Markets

• The UAE equity markets, particularly the Dubai and Abu Dhabi stock exchanges, have experienced significant capital losses since September 2008, with combined losses exceeding $102 billion by March 2012.
• The correlation between UAE equity markets and global markets increased after the 2008 crisis, with Dubai showing the highest correlation (0.57) with the S&P 500 in the period from January 2011 to March 2012.
• Market volatility increased post-crisis but began to stabilize by 2011.
• Market perceptions of Dubai's sovereign default risk remain elevated, though less than in 2008/09.

2. Sovereign Risk and CDS Spreads

• The CDS spreads for Dubai's sovereign debt reflect heightened uncertainty and financial contagion from Europe, especially from Greece.
• Greece has been the most significant contributor to financial stress in the UAE, accounting for over 60% of the total measured contagion.
• Other key contributors include the United Kingdom, Turkey, Italy, France, Spain, and the United States.
• The Spillover Coefficient (SC) is used to quantify the probability of distress in one country based on the distress of others, indicating that systemic risk from advanced economies has decreased post-crisis.

3. Banking System

• The UAE banking system is moderately exposed to Europe, with foreign liabilities accounting for 19% of total liabilities.
• Banks have shown improved capitalization and profitability, with return on assets remaining stable at around 1.5% and return on equity decreasing slightly from 14.1% in 2007 to 11.4% in 2011.
• Nonperforming loans (NPLs) increased due to real estate concentration, but provisioning has been adequate.
• The Banking Stability Index (BSI) and Joint Probability of Default (JPoD) indicate that the UAE banking system has not shown signs of distress, though there are still vulnerabilities.
• Stress tests suggest that the system has sufficient liquidity and capital buffers to withstand shocks, though some banks are more vulnerable than others.

4. Corporate Sector

• The nonfinancial corporate sector shows signs of financial improvement, though it remains vulnerable to global financial conditions, particularly in the real estate sector.
• Interest coverage ratios (ICRs) indicate that firms are more exposed to interest rate and income shocks.
• The corporate sector's financial health is closely tied to global market conditions, with continued exposure to external risks.

Key Information

• Financial Vulnerabilities: The UAE's financial system is still exposed to global financial conditions despite improvements since 2008.
• Market Correlation: UAE equity markets have become more correlated with global markets, especially after the 2008 crisis.
• CDS Spreads: CDS spreads for Dubai have remained elevated, reflecting financial contagion from Europe, particularly Greece.
• Spillover Coefficients: The SC and ΔCo-VaR measures show the degree of financial contagion from other countries to the UAE, with Greece as the primary source.
• Banking System Resilience: Banks have adequate liquidity and capital buffers, but some exhibit higher vulnerabilities due to concentration risks and interconnectedness.
• Stress Testing: The UAE banking system has shown resilience to shocks, though individual banks vary in their exposure and stability.
• Corporate Sector: Continued vulnerabilities in the real estate sector and exposure to global shocks are noted, with ICRs indicating financial stress under different scenarios.

Recommendations

• The central bank should continue to monitor individual bank liquidity and encourage proactive risk management.
• Mitigation of credit concentration and full recognition of nonperforming loans (NPLs) are necessary.
• Strengthening the risk assessment culture and regular stress testing can further enhance financial stability.
• Improving the early warning system will help in identifying and managing potential financial risks.

Conclusion

The UAE financial system remains highly integrated with global markets and is exposed to international financial conditions. While there have been improvements in capitalization and profitability, the system still faces vulnerabilities, especially from European financial distress. The document underscores the need for continued vigilance and proactive measures to maintain financial stability.