Cover IMF Working Papers
Global Market Conditions and Systemic Risk
Author: Ms. Brenda Gonzalez-Hermosillo and Mr. Heiko Hesse
Series:
IMF Working Papers
Volume/Issue:
Volume 2009: Issue 230
Language:
English
Publication Date:
01 Oct 2009
DOI:
https://doi.org/10.5089/9781451873771.001
ISBN:
9781451873771
ISSN:
1018-5941
Pages:
22
Keywords:
WP; market; market condition; forex; Ted
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund