Price Volatility and Financial Instability
May 1, 2001
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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
Pages:
43
Volume:
2001
DOI:
Issue:
060
Series:
Working Paper No. 2001/060
Stock No:
WPIEA0602001
ISBN:
9781451848052
ISSN:
1018-5941
