There is a debate on the excess volatility of long-term bond yields. It is found that whether long-term bond yields are excessively volatile or excessively smooth depends critically on the knowledge of the long-run properties of the short-term interest rate process. Uses a span of 200 years of...

This paper provides some additional empirical evidence on the effect of exchange-rate volatility on exports. The novelties of the study include: a regime-switching model in conditional volatility is employed to better capture the exchange-rate uncertainty; a 2SLS method as suggested by Hsiao is...

This paper provides some additional empirical evidence on the effect of exchange‐rate volatility on exports. The novelties of the study include: a regime‐switching model in conditional volatility is employed to better capture the exchange‐rate uncertainty; a 2SLS method as suggested by...

There is a debate on the excess volatility of long‐term bond yields. It is found that whether long‐term bond yields are excessively volatile or excessively smooth depends critically on the knowledge of the long‐run properties of the short‐term interest rate process. Uses a span of 200...