Market Volatility As a Financial Soundness Indicator : An Application to Israel /

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 inflat...

وصف كامل

التفاصيل البيبلوغرافية
المؤلف الرئيسي: Mendez Morales, Armando
مؤلفون آخرون: Schumacher, Liliana
التنسيق: دورية
اللغة:English
منشور في: Washington, D.C. : International Monetary Fund, 2003.
سلاسل:IMF Working Papers; Working Paper ; No. 2003/047
الوصول للمادة أونلاين:Full text available on IMF
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100 1 |a Mendez Morales, Armando. 
245 1 0 |a Market Volatility As a Financial Soundness Indicator :   |b An Application to Israel /  |c Armando Mendez Morales, Liliana Schumacher. 
264 1 |a Washington, D.C. :  |b International Monetary Fund,  |c 2003. 
300 |a 1 online resource (39 pages) 
490 1 |a IMF Working Papers 
500 |a <strong>Off-Campus Access:</strong> No User ID or Password Required 
500 |a <strong>On-Campus Access:</strong> No User ID or Password Required 
506 |a Electronic access restricted to authorized BRAC University faculty, staff and students 
520 3 |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. 
538 |a Mode of access: Internet 
700 1 |a Schumacher, Liliana. 
830 0 |a IMF Working Papers; Working Paper ;  |v No. 2003/047 
856 4 0 |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