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Price Volatility and Financial Instability
Author:
Mr. Gene L. Leon
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and
Mr. Rupert D Worrell
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Series:
IMF Working Papers
Volume/Issue:
Volume 2001: Issue 060
Language:
English
Publication Date:
01 May 2001
DOI:
https://doi.org/10.5089/9781451848052.001
ISBN:
9781451848052
ISSN:
1018-5941
Pages:
43
Keywords:
WP; exchange rate; interest rate; volatility; financial instability; GARCH models; interest rate volatility; price instability; interest rate estimate; exchange rate volatility; behavior exchange rates; volatility overlap; Exchange rates; Asset prices; Stock markets; Capital markets; Africa
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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Statistical measures of the volatility of exchange rates, interest rates, and stock prices are estimated for a number of countries. Periods of high volatility are identified and compared with periods of financial difficulty. The results indicate that GARCH models of volatility could be potentially useful in assessing financial soundness. Daily data are more revealing, but monthly series allow comparisons among many countries. Country specific models may be needed for more reliable inference.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund