Market Volatility As a Financial Soundness Indicator (Record no. 151484)

000 -LEADER
fixed length control field 02314nam a22003974a 4500
001 - CONTROL NUMBER
control field WPIEA0472003
003 - CONTROL NUMBER IDENTIFIER
control field IMF
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20190405163014.0
006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION
fixed length control field m o d
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION
fixed length control field cr cn|||||||||
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 020129s2003 dcu o i00 0 eng d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 1451846665 :
Terms of availability 15.00 USD
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
Cancelled/invalid ISBN 9781451846669
022 ## - INTERNATIONAL STANDARD SERIAL NUMBER
International Standard Serial Number 1018-5941
024 7# - OTHER STANDARD IDENTIFIER
Standard number or code 10.5089/9781451846669.001
Source of number or code doi
035 ## - SYSTEM CONTROL NUMBER
System control number (IMF)WPIEA0472003
040 ## - CATALOGING SOURCE
Original cataloging agency DcWaIMF
Language of cataloging eng
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Méndez Morales, Armando.
245 10 - TITLE STATEMENT
Title Market Volatility As a Financial Soundness Indicator
Medium [electronic resource] :
Remainder of title An Application to Israel /
Statement of responsibility, etc Armando Méndez Morales.
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc Washington, D.C. :
Name of publisher, distributor, etc International Monetary Fund,
Date of publication, distribution, etc 2003.
300 ## - PHYSICAL DESCRIPTION
Extent 1 online resource (39 p.)
490 1# - SERIES STATEMENT
Series statement IMF Working Papers; Working Paper ;
Volume number/sequential designation No. 03/47
520 3# - SUMMARY, ETC.
Summary, etc 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.
588 ## - SOURCE OF DESCRIPTION NOTE
Source of description note Description based on print version record.
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Correlations
Source of heading or term imf
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Covariance
Source of heading or term imf
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Equation
Source of heading or term imf
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Equations
Source of heading or term imf
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Exchange Rate
Source of heading or term imf
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Financial Markets and the Macroeconomy
Source of heading or term imf
651 #7 - SUBJECT ADDED ENTRY--GEOGRAPHIC NAME
Geographic name Israel
Source of heading or term imf
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name Schumacher, Liliana.
776 08 - ADDITIONAL PHYSICAL FORM ENTRY
Display text Print Version:
Main entry heading Méndez Morales, Armando.
Title Market Volatility As a Financial Soundness Indicator : An Application to Israel
Place, publisher, and date of publication Washington, D.C. : International Monetary Fund, 2003.
International Standard Book Number 9781451846669
830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE
Uniform title IMF Working Papers; Working Paper ;
Volume number/sequential designation No. 03/47
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="http://elibrary.imf.org/view/IMF001/04538-9781451846669/04538-9781451846669/04538-9781451846669.xml">http://elibrary.imf.org/view/IMF001/04538-9781451846669/04538-9781451846669/04538-9781451846669.xml</a>
Public note IMF e-Library
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="http://www.imfbookstore.org/IMFORG/9781451846669">http://www.imfbookstore.org/IMFORG/9781451846669</a>
Public note IMF Book Store

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