, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …

forecasting horizon, both in- and out-of-sample. Finally, a regime-switching estimation shows that the systematic risk component …

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 …

volatility in determining a firm's debt currency composition, among other channels. Furthermore, the effect of exchange rate … volatility becomes statistically insignificant beyond an estimated threshold credit-to-GDP ratio of 100 percent …

standard estimation technique of exchange rate pass-through to inflation is extended to incorporate exchange rate volatility …Does the South African rand's relatively large volatility affect inflation? To shed some light on this question, a …. Estimated results suggest that higher exchange rate volatility tends to increase core inflation but to a relatively limited …

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 …