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 …

This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign … exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet … parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well …

news and communication along with the estimated exchange rate misalignment on exchange rate as well as its volatility …

autoregressive model with time-varying parameters and stochastic volatility (TVP-SV-GVAR). We find that a contractionary US monetary …

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

This paper proposes an explanation of the shifts in the volatility of exchange rate returns that relies on standard … may lead agents to focus excessively on a subset of fundamental variables. As a result, exchange rate volatility is mainly … determined by the dynamics of this subset of fundamentals. As agents switch between models the nominal exchange rate volatility …

volatility of the basket. Although, in the past, RMB inclusion would have had negligible impact due to its limited weight, a much …