unions to estimate the effect of currency unions on trade using (then-) conventional gravity models. In this paper, we use a … variety of empirical gravity models to estimate the currency union effect on trade and exports, using recent data which … a smaller trade effect than other currency unions; it has a mildly stimulating effect at best. Third and most …

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 …

daily exchange rate volatility and correlation, covering an entire decade. In addition to being model-free, our estimates …-inducing volatility transformation, high contemporaneous correlation across volatilities, high correlation between correlation and …

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 literature, namely its relative neglect of the connection between macroeconomic fundamentals and asset return … volatility. We progress by analyzing a broad international cross section of stock markets covering approximately forty countries …

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

A rapidly growing literature has documented important improvements in financial return volatility measurement and … return volatility. In an application to the DM/$ exchange rate, the S&P500 market index, and the 30-year U.S. Treasury bond … non-jump movements in a simple but sophisticated volatility forecasting model, we find that almost all of the …