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 …

data properties. In particular, it is shown that changes in the volatility of the shocks can be used for identification …

This paper aims to select the best model or set of models for modelling volatility of the four most popular …

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

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 …