and the macro factors satisfies the no-arbitrage assumption, and is a suitably restricted version of multivariate GARCH …

gap, and the interest rate, and we compare with evidence from survey data and a VAR model. We find that the strongest …

alternatives and more economically plausible. We discuss implications of our analysis for the estimation of economic models of …

forward premia on monthly exchange rate returns in a framework that allows for volatility timing. We implement Bayesian … methods for estimation and ranking of a set of empirical exchange rate models, and construct combined forecasts based on … stochastic volatility innovations; and (ii) strategies based on combined forecasts yield large economic gains over the random …

misaligned exchange rates, appear to have suffered more macroeconomic volatility and also grown more slowly during the postwar … more ‘extractive’ institutions from their colonial past were more likely to experience high volatility and economic crises … appear to have only a minor impact on volatility and crises. This suggests that distortionary macroeconomic policies are more …

outside the Union. The analysis indicates the need to distinguish between short-term oscillations (i.e. volatility) and medium …

Fixed exchange rates are less volatile than floating rates. The volatility of macroeconomic variables, such as money …-off between reduced exchange rate volatility and macroeconomic stability. …

(real or nominal, bilateral or effective) exchange rate volatility? If so, has this been at the expense of increased … interest rate volatility? How important have capital controls been for the operation of the EMS? Has the Exchange Rate … Mechanism reduced the volatility of unanticipated exchange rate changes? Has the EMS been effective in making ERM currencies …