This paper investigates the consequences of exchange rate volatility on the variability of export prices and quantities …

This paper investigates the relationship between the nominal exchange rate regime and the volatility of relative … for primary commodities, the volatility of relative commodity prices rises when exchange rate uncertainty increases. If …

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 …

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 …

This paper presents a method to test the volatility predictions of the textbook asset-pricing exchange rate model … builds on existing tests of excess volatility in asset prices, combining them with a procedure that extracts unobservable … 1984 and find broad evidence of excess exchange rate volatility with respect to the predictions of the canonical asset …

This paper analyzes the effects of exchange rate volatility on bilateral trade flows. Through use of a gravity model … attention is reserved for problems of simultaneous causality. The negative correlation between trade and bilateral 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 …

appropriately. Finally, we implement a simple stochastic volatility model and simulate the credit transition matrix for two large … the constant volatility case. In particular, it can shift CTM probabilities towards lower credit risk categories …