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Price Volatility and Financial Instability

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  • Mr. Gene L. Leon
  • Mr. Rupert D Worrell

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.

Suggested Citation

  • Mr. Gene L. Leon & Mr. Rupert D Worrell, 2001. "Price Volatility and Financial Instability," IMF Working Papers 2001/060, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2001/060
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    References listed on IDEAS

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    Cited by:

    1. Deba Prasad Rath & Rudra Sensarma, 2006. "Money-Price Variability and Asset Prices Volatility: Evidence from India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 4(2), pages 59-74, July.
    2. Yokoyama, Kazuki, 2023. "Whispers of Chaos: Intervention on the Mexican Dollar Quotes in Japan, 1869-1885," MPRA Paper 118586, University Library of Munich, Germany.
    3. Mr. Rupert D Worrell, 2004. "Quantitative Assessment of the Financial Sector: An Integrated Approach," IMF Working Papers 2004/153, International Monetary Fund.
    4. Brigitte Desroches & Marc‐André Gosselin, 2004. "Evaluating Threshold Effects in Consumer Sentiment," Southern Economic Journal, John Wiley & Sons, vol. 70(4), pages 942-952, April.

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