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Global Market Conditions and Systemic Risk1

Global Market Conditions and Systemic Risk1 »

Source: Global Market Conditions and Systemic Risk

Volume/Issue: 2009/230

Series: IMF Working Papers

Author(s): Brenda Gonzalez-Hermosillo , and Heiko Hesse

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2009

ISBN: 9781451873771

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...

Global Market Conditions and Systemic Risk

Global Market Conditions and Systemic Risk »

Volume/Issue: 2009/230

Series: IMF Working Papers

Author(s): Brenda Gonzalez-Hermosillo , and Heiko Hesse

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2009

DOI: http://dx.doi.org/10.5089/9781451873771.001

ISBN: 9781451873771

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...