constrained counterparts to the VARs. The predictability of returns is related to asset pricing models by examining the volatility …

relationship between carry trade excess returns and exchange rate volatility, both realized and implied. Specifically, we extend … persistent excess returns that unwind sharply resulting in losses when actual and implied volatility rise. We next also document … significant volatility regime sensitivity for Fama regressions estimated over low and high volatility periods. Specifically we …

. exchange-rate volatility. B. The observed pattern of spot exchange-rate vs. forward exchange-rate volatility. Second, a widely … neglected reason for exchange-rate volatility, activist monetary policy, will be studied …

This paper addresses the puzzle of regime-dependent volatility in foreign exchange. We extend the literature in two … induce volatility under flexible rates because they have portfolio-balance effects on price, whereas under fixed rates the …

produces two striking results: (i) Much of the observed short-term volatility in exchange rates comes from sampling the …

examines how the bid-ask spread and conditional volatility in the yen/dollar foreign exchange market changed around the time of … volatility, the deregulation was associated with a convergence of Japanese quoted spreads toward those of other banks. (2 …) Modeling the persistence in volatility reveals that deregulation lowered conditional volatility …