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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: González-Hermosillo, Brenda (Autor), Hesse, Heiko (Autor)
Autor Corporativo: International Monetary Fund. Monetary and Capital Markets Department
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [Washington, D.C.] : International Monetary Fund, ©2009.
Colección:IMF working paper ; WP/09/230.
Temas:
2008-2009
Global Financial Crisis, 2008-2009.
Financial crises > Econometric models.
Risk management > Econometric models.
Time-series analysis > Econometric models.
Crise financière mondiale, 2008-2009.
Gestion du risque > Modèles économétriques.
Série chronologique > Modèles économétriques.
Financial crises > Econometric models
Risk management > Econometric models
Time-series analysis > Econometric models
Acceso en línea:Texto completo

MARC

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245 1 0 |a Global market conditions and systemic risk /  |c prepared by Brenda González-Hermosillo and Heiko Hesse. 
260 |a [Washington, D.C.] :  |b International Monetary Fund,  |c ©2009. 
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490 1 |a IMF working paper ;  |v WP/09/230 
504 |a Includes bibliographical references (pages 20-22). 
520 3 |a 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. 
588 0 |a Print version record. 
505 0 |a 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. 
505 8 |a 6b. Markov-Switching ARCH Model of TED SpreadV. Conclusion; Footnotes. 
546 |a English. 
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650 0 |a Financial crises  |x Econometric models. 
650 0 |a Risk management  |x Econometric models. 
650 0 |a Time-series analysis  |x Econometric models. 
650 6 |a Crise financière mondiale, 2008-2009. 
650 6 |a Gestion du risque  |x Modèles économétriques. 
650 6 |a Série chronologique  |x Modèles économétriques. 
650 7 |a Financial crises  |x Econometric models  |2 fast 
650 7 |a Risk management  |x Econometric models  |2 fast 
650 7 |a Time-series analysis  |x Econometric models  |2 fast 
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700 1 |a Hesse, Heiko,  |e author. 
710 2 |a International Monetary Fund.  |b Monetary and Capital Markets Department. 
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