Global Market Conditions and Systemic Risk

Global Market Conditions and Systemic Risk
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... READ MORE...

Publication date: October 2009
ISBN 9781451873771
$18.00

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