This article uses high-frequency exchange rate data for a group of 13 Latin American countries in order to analyse volatility co-movements. Particular interest is posed on understanding the existence of a common volatility process during the 1995-2008 period. The analysis relies on bivariate...

In this article we examine the sensitivity of the foreign exchange market to central bank intervention. Using a time varying Markov switching model we separate periods of relatively stable market conditions from volatile periods and look at the dynamic of the causality effect under different...