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 …

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

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

This paper uses micro-data from the World Bank Investment Climate Surveys 2002-2006 to investigate how foreign …

across countries with lower average stock market volatility, crises are more frequent in countries with poor creditor …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

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 …