, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results …

The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange … and monetary) can account for volatility of real exchange rates in emerging economies, with international financial …

. We develop a multi-country version of the Lucas tree model with time-varying volatility and show that in addition to … the cross country variations of realized volatility. Using this theoretical insight, two common factors, a ‘real' and a …-specific innovations to real GDP growth and realized stock market volatility. We then quantify the absolute and the relative importance of …

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …

with higher growth, lower growth volatility, and lower probabilities of severe declines in real activity. Advances in …

large parts of the world. In this paper we explore the financial and the trade channel in a unified framework and quantify …