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Price Volatility and Financial Instability

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  • Gene L. Leon
  • 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

  • Gene L. Leon & Rupert D Worrell, 2001. "Price Volatility and Financial Instability," IMF Working Papers 01/60, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:01/60
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    References listed on IDEAS

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