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 …

beliefs of market participants. We find for our sample that intervention increases exchange rate volatility (and spread) for … the next minutes but that intervention days show a lower degree of volatility (and spread) than non-intervention days. We …

that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio … shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …

the yen/US dollar dynamics. -- exchange rates ; interventions ; Japan …

. Daily data reveal significant differences in volatility on the last of three meeting days when the interest rate … macroeconomic news effects on the foreign exchange market. We find evidence for non-linear regime switching between a high-volatility …, informed-trading state and a low-volatility, liquidity-trading state. MPC surprise announcements are shown significantly to …

implications for exchange rates, volatility, returns to currency investing, and transaction costs. This blow-by-blowʺ narrative is …