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 …

In this paper we re-consider the effects of monetary policy shocks on exchange rates and forward premia. In the recent … that in particular (i) allows for simultaneous multi-country adjustments in response to monetary policy shocks, and (ii …) takes advantage of the identifying restrictions for monetary policy shocks implied by empirically supported long …

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 …

emerging market economies. Expansionary monetary policies in response to the burst of bubbles are argued to have contributed to …

We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate …. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility … Japanese monetary authorities did not have the desired effect with respect to the exchange rate level and we measure an …

We empirically analyze how bank lending reacts to monetary policy in the presence of global financial flows. Employing … international funding and thus insulate their costs of funding from domestic monetary policy. We isolate the effect of global … factors from domestic monetary policy by focusing on the deviation of exchange rates from the prediction of (uncovered and …