Hidden Bibliographic Details
| Other authors / contributors: | Leon, H. L. (Hyginus Lambert)
International Monetary Fund. Monetary and Exchange Affairs Department.
IMF Institute.
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| ISBN: | 128196171X
9781281961716
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| Notes: | Cover title.
"May 2001"--Page [1].
Includes bibliographical references (pages 20-22).
Print version record.
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| Summary: | Statistical measures of the volatility of exchage rates, interest rates, and stock prices are estimated for a nmber of countries. Periods of high voaltility 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 rvealing, but monthly series allow comparisons among many countries. Country specific models may be needed for more reliable inference.
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| Other form: | Print version: Worrell, DeLisle. Price volatility and financial instability. [Washington, D.C.] : International Monetary Fund, Monetary and Exchange Affairs Dept. and IMF Institute, ©2001
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