examines how the bid-ask spread and conditional volatility in the yen/dollar foreign exchange market changed around the time of … volatility, the deregulation was associated with a convergence of Japanese quoted spreads toward those of other banks. (2 …) Modeling the persistence in volatility reveals that deregulation lowered conditional volatility …

. exchange-rate volatility. B. The observed pattern of spot exchange-rate vs. forward exchange-rate volatility. Second, a widely … neglected reason for exchange-rate volatility, activist monetary policy, will be studied …

relationship between carry trade excess returns and exchange rate volatility, both realized and implied. Specifically, we extend … persistent excess returns that unwind sharply resulting in losses when actual and implied volatility rise …We next also document significant volatility regime sensitivity for Fama regressions estimated over low and high …

This paper addresses the puzzle of regime-dependent volatility in foreign exchange. We extend the literature in two … induce volatility under flexible rates because they have portfolio-balance effects on price, whereas under fixed rates the …

. Assuming that news has only country specific autocorrelation such as a heat wave. any intra-daily volatility spillovers (meteor …. Using a volatility type of vector autoregression we examine the impact of news in one market on the time path of volatility …

typically reduced but not eliminated when returns are standardized by volatilities estimated from popular models such as GARCH …

central banks in the absence of any formal arrangements among their governments to limit exchange rate volatility. The … advocates of the proposals for change have made their assessment of the global costs of exchange rate volatility and (their …