A gravity model is used to assess the separate effects of exchange rate volatility and currency unions on international … trade. The panel data set used includes bilateral observations for five years spanning 1970 through 1990 for 186 countries … same currency. I find a large positive effect of a currency union on international trade, and a small negative effect of …

This paper shows that proximity to major international financial centers seems to reduce business cycle volatility. In … experience more volatile growth rates in both output and consumption, even after accounting for political institutions, trade …

Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …

further dialog between the academic and practitioner communities, hopefully stimulating the development of improved market …

dampening effect on trade volatility …I examine the hypothesis that membership in the World Trade Organization (WTO) and its predecessor the General … Agreement on Tariffs and Trade (GATT) has increased the stability and predictability of trade flows. I use a large data set …

the relationships in detail. Among other things, we show that: (a) Volatility dependence produces sign dependence, so long … as expected returns are nonzero, so that one should expect sign dependence, given the overwhelming evidence of volatility … of sign dependence and volatility dependence; (c) Sign dependence is not likely to be found via analysis of sign …

It depends. If volatility fluctuates in a forecastable way, then volatility forecasts are useful for risk management …; hence the interest in volatility forecastability in the risk management literature. Volatility forecastability, however … volatility forecastability are plagued by the fact that they are joint assessments of volatility forecastability and an assumed …

This paper addresses the issue of whether regimes of fixed exchange rates are a mechanism for shifting volatility inter … devaluations reveals little evidence of significant increases in volatility following these events …

Fixed exchange rates are less volatile than floating rates. But the volatility of macroeconomic variables such as money … exchange rate volatility and macroeconomic stability …