Price Volatility and Financial Instability

Author/Editor:

Gene L. Leon ; Rupert D Worrell

Publication Date:

May 1, 2001

Electronic Access:

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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.

Series:

Working Paper No. 01/60

Subject:

English

Publication Date:

May 1, 2001

ISBN/ISSN:

9781451848052/1018-5941

Stock No:

WPIEA0602001

Format:

Paper

Pages:

43

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