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 …

. 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 …

volatility rises and as export demand shocks become more correlated. These theoretical results are confirmed by empirical …

domestic investment and foreign direct investment (FDI), and the correlation between exchange rate volatility and investment … a flexible exchange rate regime. It is shown that a fixed exchange rate regime is more conducive to FDI relative to a … exchange rate volatility under a flexible exchange rate is shown to depend on the nature of the shocks. If the dominant shocks …

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 …

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 …