Global Market Conditions and Systemic Risk

Global Market Conditions and Systemic Risk
Get Code Buy
Journal Issue
Share
Volume/Issue:
2009/230
Series:
IMF Working Papers
Author(s):
Brenda Gonzalez-Hermosillo, and Heiko Hesse
Publisher:
INTERNATIONAL MONETARY FUND
Published Date:
October 2009
DOI:
http://dx.doi.org/10.5089/9781451873771.001
ISBN:
9781451873771
ISSN:
1018-5941
Page:
22
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.
Share
  • ShareShare
Show Summary Details
You are not logged in and do not have access to this content. Please login or, to subscribe to IMF eLibrary, please click here