Since the Australian dollar was floated in December 1983, the Australian central bank (Reserve Bank of Australia) has … to December 2001, this paper examines what effects, if any, foreign exchange operations by the Reserve Bank of Australia … (RBA) have had on the level and volatility of the Australian dollar exchange rate. First, using an event study we evaluate …

explore this question by comparing long-run volatility trends in CEE currencies and the euro. We find that these trends are … euro. Spillovers of volatility across regional markets appear to have diminished over time, with the exception of the … Hungarian forint, which remains a source of volatility shocks to regional currencies …

This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility … ""stock market correction"" period. There is also evidence of structural breaks in the stock price and volatility dynamics …

Statistical measures of the volatility of exchange rates, interest rates, and stock prices are estimated for a number … of countries. Periods of high volatility are identified and compared with periods of financial difficulty. The results … indicate that GARCH models of volatility could be potentially useful in assessing financial soundness. Daily data are more …

Using data for the major currencies from 1973 to 1994, we apply recent tests of asset price volatility to re …. Consistent with previous evidence from regression-based tests, most of the models that we examine are rejected by our volatility … “volatility”, however, may disguise the cause of rejection as excessive exchange rate volatility. This a Working Paper and the …

GSIBs and GSIIs, using publicly-available daily equity returns and intra-day volatility data from October 2007 to August … 2016. Results reveal strong regional clusters of return and volatility connectedness amongst GSIBs and GSIIs. Compared to … the important role of bank profitability and asset quality in driving bank-specific return connectedness …

lesser role in Romania than in other Central European transition economies. This paper tests this hypothesis and concludes … that it cannot be supported by the data. Hence pass-through in Romania is concluded to be in line with that in comparable …

decisions in Romania. Using a recursive VAR model, this paper finds that (i) the pass-through is large and relatively fast …