Brenda González-Hermosillo, Heiko Hesse, 21 April 2009

This column examines the use of key global market conditions to assess financial volatility and the likelihood of crisis. Using Markov regime-switching analysis, 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.

Full Article: Financial turbulence and early crisis detection