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 … exchange rate volatility under a flexible exchange rate is shown to depend on the nature of the shocks. If the dominant shocks … correlation between exchange rate volatility and the level of investment …

the exchange rate volatility, cyclicality and the FX risk premia in the data …

This paper offers empirical evidence that real exchange rate volatility can have a significant impact on long-term rate … with relatively low levels of financial development, exchange rate volatility generally reduces growth, whereas for … rate volatility, and outliers. We also offer a simple monetary growth model in which real exchange rate uncertainty …

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 …

forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility … variation, we formally develop the links between the conditional covariancematrix and the concept of realized volatility. Next …

produces two striking results: (i) Much of the observed short-term volatility in exchange rates comes from sampling the …

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 …