Global market conditions and systemic risk / / prepared by Brenda Gonzalez-Hermosillo and Heiko Hesse
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| Autore: |
Gonzalez-Hermosillo Brenda
|
| Titolo: |
Global market conditions and systemic risk / / prepared by Brenda Gonzalez-Hermosillo and Heiko Hesse
|
| Pubblicazione: | [Washington, D.C.], : International Monetary Fund, Monetary and Capital Markets Dept., 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 | |
| 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 |
| Opac: | Controlla la disponibilità qui |
Serie:
IMF working paper ; ; WP/09/230.