. Assuming that news has only country specific autocorrelation such as a heat wave. any intra-daily volatility spillovers (meteor …. Using a volatility type of vector autoregression we examine the impact of news in one market on the time path of volatility …

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 …

. 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 …

domestic investment and foreign direct investment (FDI), and the correlation between exchange rate volatility and investment … a flexible exchange rate regime. It is shown that a fixed exchange rate regime is more conducive to FDI relative to a … exchange rate volatility under a flexible exchange rate is shown to depend on the nature of the shocks. If the dominant shocks …

volatility rises and as export demand shocks become more correlated. These theoretical results are confirmed by empirical …

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 …

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 …