currencies, and the euro serves as a hedge currency. Results for the yen support its role as a carry funding vehicle, but not … the estimation results, two currencies, the Swiss franc and (to a lesser extent) the US dollar qualify as safe haven … analysis of bilateral euro-based exchange rates, given the euro's prominent role during the euro area sovereign debt crisis …

This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on …

We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate … successful interventions, both in depreciating the yen and in reducing exchange rate volatility …. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility …

This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly … Kong, Thailand, the Philippines, and Taiwan) over the period 1993:01-2012:11, and estimating a time-varying transition … probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility …

premium and changes in the dollar-euro exchange rate on changes in daily returns of the rand-dollar exchange rate. We also …

Using recent advances in panel data estimation techniques, we find that an appreciation of the US dollar exchange rate … of the US dollar on oil demand tends to be declining over time and, for a subsample of OECD countries, stronger for an …

econometrically estimated in continuous time with Euro/Dollar data and examined for the possible presence of chaotic motion. Our …The aim of this paper is to develop a continuous time exchange rate model that allows for heterogeneity of the agents …

We study the implication of a multipolarization of the international monetary system on cross-currency volatility. More … the euro-dollar exchange rate, within a three-country, three-currency portfolio model. Our static model shows that the … euro-dollar rate, whatever the exchange-rate regime of China. Moving to a dynamic, stock-flow framework, we show that the …

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 …

the yen/US dollar dynamics …