Global Market Conditions and Systemic Risk / / Brenda Gonzalez-Hermosillo, Heiko Hesse

• Autore: Gonzalez-Hermosillo Brenda
• Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2009
• Edizione: 1st ed.
• Descrizione fisica: 22 p. : ill
• Disciplina: 337
• Soggetto topico: Global Financial Crisis, 2008-2009; Financial crises - Econometric models; Risk management - Econometric models; Time-series analysis - Econometric models; Currency markets; Economic & financial crises & disasters; Finance; Finance: General; Financial Crises; Financial crises; Financial Risk Management; Financial risk management; Foreign exchange market; General Financial Markets: General (includes Measurement and Data); General Financial Markets: Government Policy and Regulation; Interbank markets; International finance; International Financial Markets; Stock exchanges; Stock markets; Systemic risk
• Soggetto geografico: United States
• Altri autori: HesseHeiko
• Note generali: "October 2009."
• Nota di contenuto: 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.
• Sommario/riassunto: 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.
• Titolo autorizzato: Global Market Conditions and Systemic Risk
• ISBN: 1-4623-8603-2; 1-4527-8638-0; 1-4518-7377-8; 1-282-84431-8; 9786612844317
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910829094403321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers; Working Paper ; ; No. 2009/230