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Author González-Hermosillo, Brenda, author.

Title Global market conditions and systemic risk / prepared by Brenda González-Hermosillo and Heiko Hesse
Published [Washington, D.C.] : International Monetary Fund, ©2009
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Description 1 online resource (22 pages) : color illustrations
Series IMF working paper ; WP/09/230
IMF working paper ; WP/09/230
Contents 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
Summary 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
Bibliography Includes bibliographical references (pages 20-22)
Notes English
Print version record
Subject Financial crises -- Econometric models
Global Financial Crisis, 2008-2009.
Risk management -- Econometric models
Time-series analysis -- Econometric models
Financial crises -- Econometric models.
Risk management -- Econometric models.
Time-series analysis -- Econometric models.
Form Electronic book
Author Hesse, Heiko, author.
International Monetary Fund. Monetary and Capital Markets Department.
ISBN 1282844318