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|z 9781451846669
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|a 1018-5941
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|a Mendez Morales, Armando.
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|a Market Volatility As a Financial Soundness Indicator :
|b An Application to Israel /
|c Armando Mendez Morales, Liliana Schumacher.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2003.
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|a 1 online resource (39 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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.
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|a Mode of access: Internet
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|a Schumacher, Liliana.
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|a IMF Working Papers; Working Paper ;
|v No. 2003/047
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2003/047/001.2003.issue-047-en.xml
|z IMF e-Library
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