This paper documents large cross-country differences in the long run volatility of the real exchange rate. In … exchange rate in industrial countries. The paper tests whether this difference in volatility can be explained by the fact that … the difference in RER volatility between developing and industrial countries. Results from ARCH estimations confirm that …

government spending shock. In addition, the deep-habit model predicts that in response to an anticipated increase in government …

introduce a model for asset return dynamics with a drift component, a volatility component and mutually exciting jumps known as … develop and implement an estimation procedure for this model. Our estimates provide evidence for self-excitation both in the …

A widely held view is that openness to international trade leads to higher GDP volatility, as trade increases … important, openness to international trade can lower GDP volatility by reducing exposure to domestic shocks and allowing … question of whether and how international trade affects economic volatility …