implications for exchange rates, volatility, returns to currency investing, and transaction costs. This “blow-by-blow” narrative is …

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 …

Engel and Rogers (1996) find that crossing the US-Canada border can considerably raise relative price volatility and … that exchange rate fluctuations explain about one-third of the volatility increase. In re-evaluating the border effect …, this study shows that cross-country heterogeneity in price volatility can lead to significant bias in measuring the border …

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 …

production volatility, significantly increases the responsiveness of oil prices to oil shocks. This implies a lower price … volatility. Also the impact of oil shocks on economic activity appears to be significantly stronger in uncertain times …

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 …

builds distribution risk into a real business cycle model, hypotheses on the determinants of the relative volatility of …Weakening bargaining power of unions and the increasing integration of the world economy may affect the volatility of … capital and labor incomes. This paper documents and explains changes in income volatility. Using a theoretical framework which …

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 …