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 …

This paper studies the role of an increase in foreign exchange reserves in reducing currency volatility for emerging … introduced in the regressions to account for other factors affecting exchange rate volatility (monetary and external indicators … exchange rate regime, since the regime can affect both the level of reserves and exchange rate volatility. The results provide …

The paper analyzes foreign exchange market volatility in four Central European EU accession countries in 2001-2003. By … using a Markov regime-switching model, it identifies two regimes representing high- and low-volatility periods. The … the Czech koruna-Slovak koruna) in the high-volatility period. The paper concludes by discussing the policy implications …

central banks should not be overly concerned with short-run volatility of their national exchange rates, given the self …

explore this question by comparing long-run volatility trends in CEE currencies and the euro. We find that these trends are … euro. Spillovers of volatility across regional markets appear to have diminished over time, with the exception of the … Hungarian forint, which remains a source of volatility shocks to regional currencies. …

correcting for the volatility risk premium and errors-in-variable problems, using state-of-the-art techniques (Chernov 2001). It …. Moreover, implied volatilities generally anticipate the direction of volatility correctly, with a bias to overpredicting … volatility increases reflecting one-sided markets. …