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| Identificatore numerico | 1995 |
| Identificatore completo | BankforInternationalSettlements99a |
| Autore/i | Bank for International Settlements |
| Anno | 1999 |
| Titolo | A Review of Financial Market Events in Autumn 1998 |
| Tipo di Pubblicazione | paper |
| Altre Informazioni | Bank for International Settlements, Committee on the Global Financial System, Basel, October Web Download. |
| Keywords | |
| Abstract | Following its March 1999 meeting, the Committee on the Global Financial System formed a working group, chaired by Karen Johnson of the Board of Governors of the Federal Reserve System, to examine the events surrounding the market stresses in many international financial markets in autumn 1998. The group was charged with putting these events in perspective, with special emphasis on understanding the suddenness of the deterioration in liquidity and elevation of risk spreads in a wide variety of markets, the proximate causes of the withdrawal from risk-taking, and the speed with which and extent to which markets subsequently recovered. The focus of the working group, therefore, was on developments across many markets in a relatively narrow time frame, as opposed to the more general investigation of market liquidity provided by an earlier report to the CGFS or the scrutiny of a narrow set of financial entities contained in the report of the US President’s Working Group and the recommendations on industry practices of the Counterparty Risk Management Policy Group.
The working group assembled a large dataset on key financial prices in major international markets and attempted to characterise the degree to which price movements in the autumn were outsized and evidenced different correlations from those observed in relatively more tranquil times. It also searched contemporaneous accounts of the events to establish a time line of significant influences on markets (included as Table 1). Group members interviewed market participants in a number of international financial centres in June 1999 to learn about their actions regarding risk exposure and credit risk management. The group as a whole met with a half dozen market participants in Basel in early July to further that dialogue. Annex 1 summarises the insights gained from the interviews.
This is the report of the Working Group |
| Importanza | media |
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