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 …

, post-intervention mean reversion in both exchange rate returns and volatility indicate that dealer inventories are affected …

central banks in the absence of any formal arrangements among their governments to limit exchange rate volatility. The … advocates of the proposals for change have made their assessment of the global costs of exchange rate volatility and (their …

The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated … volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads … estimate of the effect of the volatility on the spreads. Although the spread-volatility relation implied by the option model of …