04951oam 22011294 450 991097121730332120250426110603.0978661284431797814623860311462386032978145278638414527863809781451873771145187377897812828443151282844318(CKB)3170000000055374(SSID)ssj0000941193(PQKBManifestationID)11588689(PQKBTitleCode)TC0000941193(PQKBWorkID)10963487(PQKB)10871018(OCoLC)680613662(IMF)WPIEE2009230(MiAaPQ)EBC1608853(IMF)WPIEA2009230WPIEA2009230(EXLCZ)99317000000005537420020129d2009 uf 0engurcn|||||||||txtccrGlobal Market Conditions and Systemic Risk /Brenda Gonzalez-Hermosillo, Heiko Hesse1st ed.Washington, D.C. :International Monetary Fund,2009.22 p. illIMF Working Papers"October 2009."9781451917956 1451917953 Intro -- 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 -- B. Results After Massive Government Programs in 2009 to Address the Global Crisis -- V. Conclusion -- Figures -- 1. Euro-Dollar Forex Swap -- 2. Markov-Switching ARCH Model of VIX -- 3. Markov-Switching ARCH Model of TED Spread -- 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 Spread.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.IMF Working Papers; Working Paper ;No. 2009/230Global Financial Crisis, 2008-2009Financial crisesEconometric modelsRisk managementEconometric modelsTime-series analysisEconometric modelsCurrency marketsimfEconomic & financial crises & disastersimfFinanceimfFinance: GeneralimfFinancial CrisesimfFinancial crisesimfFinancial Risk ManagementimfFinancial risk managementimfForeign exchange marketimfGeneral Financial Markets: General (includes Measurement and Data)imfGeneral Financial Markets: Government Policy and RegulationimfInterbank marketsimfInternational financeimfInternational Financial MarketsimfStock exchangesimfStock marketsimfSystemic riskimfUnited StatesimfGlobal Financial Crisis, 2008-2009.Financial crisesEconometric models.Risk managementEconometric models.Time-series analysisEconometric models.Currency marketsEconomic & financial crises & disastersFinanceFinance: GeneralFinancial CrisesFinancial crisesFinancial Risk ManagementFinancial risk managementForeign exchange marketGeneral Financial Markets: General (includes Measurement and Data)General Financial Markets: Government Policy and RegulationInterbank marketsInternational financeInternational Financial MarketsStock exchangesStock marketsSystemic risk337Gonzalez-Hermosillo Brenda1816479Hesse Heiko1816008International Monetary Fund.Monetary and Capital Markets Dept.DcWaIMFBOOK9910971217303321Global Market Conditions and Systemic Risk4372583UNINA