We examine the Exchange Rate Volatility (ERV) response to the Economic Policy Uncertainty (EPU) shocks from a panel VAR …

direction. Interventions increase volatility in the short run as they are regarded as information; but they can reduce … volatility overall. Ways of transmission may reach beyond the signaling channel and also include the portfolio balance and a …

also look at the impact of mistakes in exchange rate regime choice on actual (nominal) exchange rate volatility. Countries … higher exchange rate volatility than other countries having a fixed exchange rate regime. We also investigate the role of …

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 …

countries including the Czech Republic, Hungary, Indonesia, Korea, Mexico, Poland, South Africa, Thailand and Turkey over the …This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …