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

• Autore: Gonzalez-Hermosillo Brenda
• Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2009
• Descrizione fisica: 22 p. : ill
• Soggetto topico: Global Financial Crisis, 2008-2009; Financial crises - Econometric models; Risk management - Econometric models; Time-series analysis - Econometric models; Finance: General; Financial Risk Management; General Financial Markets: Government Policy and Regulation; Financial Crises; General Financial Markets: General (includes Measurement and Data); International Financial Markets; Finance; Economic & financial crises & disasters; Systemic risk; Financial crises; Stock markets; Currency markets; Interbank markets; Financial risk management; Stock exchanges; Foreign exchange market; International finance
• Soggetto geografico: United States
• Altri autori: HesseHeiko
• Note generali: "October 2009."
• 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.: 9910788224403321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers; Working Paper ; ; No. 2009/230