Series: IMF Working Papers
Author(s): Brenda Gonzalez-Hermosillo , and Heiko Hesse
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 October 2009
Keywords: Global Financial Crises, Subprime Crisis, Volatility, Solvency, Markov-Switching, financial institutions, financial system, contagion, Multiple or Simultaneous Equation Models: Time-Series Models, Financial Markets and the Macroeconomy,
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 r...