Price Volatility and Financial Instability

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.Exchange rates;Stock markets;Exchange rate instability;Price stabilization;Economic models;exchange rate, stock market, stock prices, stock price, exchange rate volatility, stock market indices, financial sector, financial system, financial instability, exchange rate regime, stock price index, stock market price, financial institutions, financial markets, exchange rate changes, stock price indices, foreign exchange, stock market index, currency depreciation, stock price volatility, stock market prices, real exchange rate, volatility in exchange rates, nominal exchange rate, stock exchange, exchange markets, stock market volatility, stock indices, financial liberalization, deposit interest, floating exchange rates, financial assets, international financial corporation, deposit interest rates, foreign exchange markets, international capital, exchange risk, depreciating exchange rate, hedge, liquidity support, stock index, money market interest, financial intermediaries, financial reforms, stock market crash, deposit insurance, financial stability, foreign exchange risk, exchange reserves, foreign exchange earnings, financial market development, international financial statistics, daily exchange rate, currency basket, exchange earnings, stock returns, money market interest rates, financial market, financial economics, exchange rate depreciation, foreign exchange reserves