TY  - BOOK
AU  - Méndez Morales,Armando
AU  - Schumacher,Liliana
TI  - Market Volatility As a Financial Soundness Indicator: An Application to Israel 
T2  - IMF Working Papers; Working Paper
SN  - 1451846665 :
SN  - 1018-5941
PY  - 2003///
CY  - Washington, D.C.
PB  - International Monetary Fund
KW  - Correlations
KW  - imf
KW  - Covariance
KW  - Equation
KW  - Equations
KW  - Exchange Rate
KW  - Financial Markets and the Macroeconomy
KW  - Israel
N2  - 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
UR  - http://elibrary.imf.org/view/IMF001/04538-9781451846669/04538-9781451846669/04538-9781451846669.xml
UR  - http://www.imfbookstore.org/IMFORG/9781451846669
ER  -