LEADER 04752oam 22010454 450 001 9910829094403321 005 20240402051834.0 010 $a1-4623-8603-2 010 $a1-4527-8638-0 010 $a1-4518-7377-8 010 $a1-282-84431-8 010 $a9786612844317 035 $a(CKB)3170000000055374 035 $a(SSID)ssj0000941193 035 $a(PQKBManifestationID)11588689 035 $a(PQKBTitleCode)TC0000941193 035 $a(PQKBWorkID)10963487 035 $a(PQKB)10871018 035 $a(OCoLC)680613662 035 $a(MiAaPQ)EBC1608853 035 $a(IMF)WPIEE2009230 035 $a(EXLCZ)993170000000055374 100 $a20020129d2009 uf 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aGlobal Market Conditions and Systemic Risk /$fBrenda Gonzalez-Hermosillo, Heiko Hesse 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2009. 215 $a22 p. $cill 225 1 $aIMF Working Papers 300 $a"October 2009." 311 $a1-4519-1795-3 327 $aIntro -- 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. 330 3 $aThis paper examines several key global market conditions, such as a proxy for market uncertainty and measures of interbank funding stress, to assess financial volatility and the likelihood of crisis. Using Markov regime-switching techniques, it shows that the Lehman Brothers failure was a watershed event in the crisis, although signs of heightened systemic risk could be detected as early as February 2007. In addition, we analyze the role of global market conditions to help determine when governments should begin to exit their extraordinary public support measures. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2009/230 606 $aGlobal Financial Crisis, 2008-2009 606 $aFinancial crises$xEconometric models 606 $aRisk management$xEconometric models 606 $aTime-series analysis$xEconometric models 606 $aFinance: General$2imf 606 $aFinancial Risk Management$2imf 606 $aGeneral Financial Markets: Government Policy and Regulation$2imf 606 $aFinancial Crises$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aInternational Financial Markets$2imf 606 $aFinance$2imf 606 $aEconomic & financial crises & disasters$2imf 606 $aSystemic risk$2imf 606 $aFinancial crises$2imf 606 $aStock markets$2imf 606 $aCurrency markets$2imf 606 $aInterbank markets$2imf 606 $aFinancial risk management$2imf 606 $aStock exchanges$2imf 606 $aForeign exchange market$2imf 606 $aInternational finance$2imf 607 $aUnited States$2imf 615 0$aGlobal Financial Crisis, 2008-2009. 615 0$aFinancial crises$xEconometric models. 615 0$aRisk management$xEconometric models. 615 0$aTime-series analysis$xEconometric models. 615 7$aFinance: General 615 7$aFinancial Risk Management 615 7$aGeneral Financial Markets: Government Policy and Regulation 615 7$aFinancial Crises 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aInternational Financial Markets 615 7$aFinance 615 7$aEconomic & financial crises & disasters 615 7$aSystemic risk 615 7$aFinancial crises 615 7$aStock markets 615 7$aCurrency markets 615 7$aInterbank markets 615 7$aFinancial risk management 615 7$aStock exchanges 615 7$aForeign exchange market 615 7$aInternational finance 676 $a337 700 $aGonzalez-Hermosillo$b Brenda$01604283 701 $aHesse$b Heiko$01600314 712 02$aInternational Monetary Fund.$bMonetary and Capital Markets Dept. 801 0$bDcWaIMF 906 $aBOOK 912 $a9910829094403321 996 $aGlobal Market Conditions and Systemic Risk$93929057 997 $aUNINA