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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...
| Clasificación: | Libro Electrónico |
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| Autores principales: | , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
©2009.
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| Colección: | IMF working paper ;
WP/09/230. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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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| Descripción Física: | 1 online resource (22 pages) : color illustrations |
| Bibliografía: | Includes bibliographical references (pages 20-22). |
| ISBN: | 9781452786384 1452786380 1462386032 9781462386031 1451873778 9781451873771 1282844318 9781282844315 9786612844317 6612844310 |