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Market Volatility As a Financial Soundness Indicator : An Application to Israel / Armando Méndez Morales, Liliana Schumacher.
- Format:
- Book
- Government document
- Author/Creator:
- Méndez Morales, Armando.
- Series:
- IMF Working Papers; Working Paper ; No. 2003/047
- IMF Working Papers
- Language:
- English
- Physical Description:
- 1 online resource (39 pages)
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2003.
- Language Note:
- English
- Summary:
- Financial decisions of economic agents are based on volatility considerations. However, no aggregate indicators have been used by policymakers and regulators to assess the market risk environment. This paper applies a market volatility indicator to analyze the Israeli's transition toward inflation targeting. Unlike conventional measures of volatility, it shows a substantial decline once volatility is measured against the minimum variance for the same returns on assets. Using a conventional Multivariate GARCH model, we find that interest rates sensitivity to changes in the risk environment may be important for a correct identification of volatility patterns of individual assets.
- Notes:
- Bibliographic Level Mode of Issuance: Monograph
- Description based on print version record.
- ISBN:
- 9786613781147
- 9781462339945
- 1462339948
- 9781452743219
- 1452743215
- 9781281600455
- 1281600458
- 9781451893830
- 1451893833
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