This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly … probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility … state. In particular, net bond inflows increase the probability of remaining in the low volatility state in the case of …

The paper investigates the impact of exchange rate volatility on growth in Emerging Europe and East Asia. Exchange … panel estimations provide evidence for a negative impact of exchange rate volatility on growth both in Emerging Europe and …

and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of … is negative in all countries except Canada (where it is positive) in the case of bond flows. Under the assumption of risk … activities to maximise returns and minimize exposure to uncertainty. Furthermore, since exchange rate volatility and the …

has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how …

heterogeneity. The risk premium influences heterogeneity as well, but possible impacts from macroeconomic variables and exchange … rate's volatility are dominated by the other determinants …

puzzles of exchange rates: excessive volatility, fat tails, volatility clustering, and disconnection from the fundamentals. In … addition, the target zone regime replicates a reduced nominal volatility for the same level of fundamental volatility as in the …