Global Market Conditions and Systemic Risk

This paper examines several key global market conditions, such as a proxy for market uncertainty and measures of interbank funding stress, to assess financial volatility and the likelihood of crisis. Using Markov regime-switching techniques, it shows that the Lehman Brothers failure was a watershed event in the crisis, although signs of heightened systemic risk could be detected as early as February 2007. In addition, we analyze the role of global market conditions to help determine when governments should begin to exit their extraordinary public support measures

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Year of publication:	2009
Authors:	González-Hermosillo, Brenda
Other Persons:	Hesse, Heiko (contributor)
Publisher:	Washington : International Monetary Fund
Subject:	Systemrisiko \| Systemic risk \| Finanzkrise \| Financial crisis \| Subprime-Krise \| Subprime financial crisis

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Extent:	Online-Ressource (37 p)
Series:	IMF Working Papers ; v.Working Paper No. 09/230 IMF working paper ; WP/09/230
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Overview of Systemic Risk; III. Global Market Conditions and Systemic Risk: A Qualitative View; IV. Markov-Regime Switching Analysis; A. Results During the Peak of the Crisis; 1. Euro-Dollar Forex Swap; 2. Markov-Switching ARCH Model of VIX; 3. Markov-Switching ARCH Model of TED Spread; B. Results After Massive Government Programs in 2009 to Address the Global Crisis; 4. Euro-Dollar Forex Swap; 5a. Markov-Switching ARCH Model of VIX; 5b. Markov-Switching ARCH Model of VIX; 6a. Markov-Switching ARCH Model of TED Spread 6b. Markov-Switching ARCH Model of TED SpreadV. Conclusion; Footnotes
ISBN:	978-1-4518-7377-1 ; 978-1-4527-8638-4 ; 978-1-4518-7377-1
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012677893