Price Volatility and Financial Instability

Gene Leon and Rupert Worrell

No 2001/060, IMF Working Papers from International Monetary Fund

Abstract: 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.

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 (search for similar items in EconPapers)
Pages: 43
Date: 2001-05-01
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Citations: View citations in EconPapers (4)

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