Price Volatility and Financial Instability

May 1, 2001

Preview Citation

Format: Chicago

Gene L. Leon, and Rupert D Worrell. Price Volatility and Financial Instability, (USA: International Monetary Fund, 2001) accessed November 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Asset prices, Capital markets, Exchange rates, Financial crises, Financial markets, Foreign exchange, Prices, Stock markets

Keywords: Africa, Asset prices, Behavior exchange rates, Capital markets, Exchange rate, Exchange rate volatility, Exchange rates, Financial instability, GARCH models, Interest rate, Interest rate estimate, Interest rate volatility, Price instability, Stock markets, Volatility, Volatility overlap, WP

Publication Details

Pages:

43
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2001/060
Stock No:

WPIEA0602001
ISBN:

9781451848052
ISSN:

1018-5941

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