rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria … could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the … than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico's FXIs data …

volatility creates risks to service provision, possibly entailing sudden tax changes, or even requiring new borrowing. After … fiscal savings (reserves), and the impact alternate policy choices could have on revenue volatility …

frequency volatility—i.e., the component of volatility that persists for longer than one harvest year—may be more challenging as … uncertainty regarding its persistence is likely to be higher. This paper measures the low frequency volatility of food commodity … spot prices using the spline- GARCH approach. It finds that low frequency volatility is positively correlated across …

(RBA) have had on the level and volatility of the Australian dollar exchange rate. First, using an event study we evaluate … Australian dollar. Second, we investigate the effects of RBA intervention policies on exchange rate volatility over the floating … volatility, which suggests that official intervention may have added to market uncertainty. Overall, the effects of RBA …

During 2001-07, increases in mature market volatility were associated with declines in forex returns for East Asian … increase in mature market equity volatility generated an exchange rate depreciation of up to 1⁄2 percent. This sensitivity rose …"" volatility in forex markets. Long-run forex volatility declined as Asian economies settled down with generally stronger …

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 …

Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility …