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 …

portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules …

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 …

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 …

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for … volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion … specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential …

for the period 1970–92. Simulation results indicate that the observed volatility of multilateral real exchange rates for … the United States, Germany and Japan is not inconsistent with exchange rate volatility implied by consumption …

fluctuations in real commodity prices. Increased exchange rate volatility calls for a better understanding of these relations. To …