Global Market Conditions and Systemic Risk

Author/Editor:

Brenda Gonzalez-Hermosillo ; Heiko Hesse

Publication Date:

October 1, 2009

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

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.

Series:

Working Paper No. 2009/230

Subject:

Currency markets Financial crises Interbank markets Stock markets Systemic risk

English

Publication Date:

October 1, 2009

ISBN/ISSN:

9781451873771/1018-5941

Stock No:

WPIEA2009230

Pages:

22

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