This paper explores the hypothesis that high volatility of real and nominal exchange rates may be due to the fact that … necessary to construct such an explanation for exchange rate volatility. In addition to the presence of local currency pricing … parity. Together, it is shown that these elements can produce exchange rate volatility that is much higher than shocks to …

theory predicts that the real exchange rate volatility curve is a U-shaped function of the degree of price stickiness. Using …We introduce the real exchange rate volatility curve as a useful device to understand the role of price stickiness in … sector-level European real exchange rate data and frequency of price changes, we estimate the volatility curve. The results …

exchange rate so as to facilitate terms of trade adjustment. We show that optimal nominal exchange rate volatility will reflect … bias in production. Quantitatively, we find the optimal exchange rate volatility should be significantly less than would be … optimal exchange rate volatility may be non-monotonic …

Did adoption of the gold standard exacerbate or diminish macroeconomic volatility? Supporters thought so, critics … thought not, and theory offers ambiguous messages. A hard exchange-rate regime such as the gold standard might limit monetary … the transmission of terms of trade shocks. Evidence on the relationship between real exchange rate volatility and terms of …

appreciates in the medium run, while an increase in the volatility of productivity leads to a dollar depreciation. We propose a … general-equilibrium theory of exchange rate determination based on the interaction between monetary policy and time … volatility shocks is consistent with the empirical evidence. Furthermore we show that risk factors and interest-rate smoothing …

Managed portfolios that take less risk when volatility is high produce large alphas, substantially increase factor …, profitability, return on equity, and investment factors in equities, as well as the currency carry trade. Volatility timing …