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...

Descripción completa

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
Tabla de Contenidos:
  • 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.

Ejemplares similares