left foreign exchange intervention unsterilized when Japan entered the liquidity trap in 1999. According to previous … volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …

This paper examines the cross-dynamics of volatility term structures implied by foreign exchange options. The data used … in the empirical analysis consist of daily observations of implied volatilities for OTC options on the euro, Japanese yen … common factors can explain a vast proportion of the variation in volatility term structures across currencies. Furthermore …

economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US … have a statistically but also an economically significant impact on the euro, and to a lesser extent the yen against the US …

several shocks to the spreads (e.g. interest rate expectations, volumes of open market operations, interest rate volatility …

We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on … of the conditional exogenous exchange rate volatility on the conditional mean of the endogenous variables in our open … empirically. In the second part, we investigate the effect of non-fundamental exchange rate volatility in a stochastic open …