Global market conditions and systemic risk /

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Bibliographic Details
Author / Creator:	González-Hermosillo, Brenda, author.
Imprint:	[Washington, D.C.] : International Monetary Fund, ©2009.
Description:	1 online resource (22 pages) : color illustrations
Language:	English
Series:	IMF working paper ; WP/09/230 IMF working paper ; WP/09/230.
Subject:	Global Financial Crisis, 2008-2009. Financial crises -- Econometric models. Risk management -- Econometric models. Time-series analysis -- Econometric models. Financial crises -- Econometric models. Risk management -- Econometric models. Time-series analysis -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12498390

Hidden Bibliographic Details
Other authors / contributors:	Hesse, Heiko, author. International Monetary Fund. Monetary and Capital Markets Department.
ISBN:	9781452786384 1452786380 1462386032 9781462386031 1451873778 9781451873771 1282844318 9781282844315 9786612844317 6612844310
Digital file characteristics:	text file
Notes:	Includes bibliographical references (pages 20-22). English. Print version record.
Summary:	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.
Other form:	Print version: González-Hermosillo, Brenda. Global market conditions and systemic risk. [Washington, D.C.] : International Monetary Fund, ©2009

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