Price Volatility and Financial Instability

44 Pages Posted: 10 Feb 2006

See all articles by DeLisle Worrell

DeLisle Worrell

Central Bank of Barbados; Retired

Hyginus Leon

International Monetary Fund (IMF)

Multiple version iconThere are 2 versions of this paper

Date Written: May 2001

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.

Keywords: volatility, financial instability, GARCH models

JEL Classification: E44, G28, G21

Suggested Citation

Worrell, DeLisle and Leon, Hyginus, Price Volatility and Financial Instability (May 2001). IMF Working Paper No. 01/60, Available at SSRN: https://ssrn.com/abstract=879541

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Hyginus Leon

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