This paper studies dynamics of endogenous business cycles and exchange rate volatility in a small open economy. Without … exhibit a higher volatility than other prices. The numerical analysis shows examples which confirm the typical empirically … observed high volatility of nominal exchange rates compared with that of real/domestic variables. …

exert a volatility amplifying effect, depending on the currency of denomination and the cyclicality of the borrower … consumption volatility of low- and middle-income countries. On constructing the debt-weighted effective exchange rates, we examine …

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 …

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 …

This paper investigates the effects of equity and bond portfolio in.ows 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 …

We provide a comprehensive assessment of volatility connectedness between the currencies of Central European (CE … currencies before) and document domination of the negative volatility, especially during periods of economic distress. We further … robust with respect to a volatility measure and provide direct policy implications for portfolio composition and hedging. …