Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate …

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 …

volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or … not for the positive tail. We also find that correlation is not related to market volatility per se but to the market …Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise …

A gravity model is used to assess the separate effects of exchange rate volatility and currency unions on international … exchange rate volatility, even after controlling for a host of features, including the endogenous nature of the exchange rate …