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 …

volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …

This paper proposes a large-scale Bayesian vector autoregression with factor stochastic volatility to investigate the … assuming that it is the joint volatility process that determines the dynamics of the variance-covariance matrix of the common … equity price volatility, closely tracking other prominent measures commonly adopted to assess uncertainty. The dynamic …

. It shows that similar press releases generate less market volatility, but that more substantial textual changes after a … sequence of very similar statements lead to much larger volatility. …

Among the harmful effects of inflation, the negative consequences of inflation volatility are of particular concern … inflation volatility. Major results are robust for unconditional and conditional inflation volatility, the latter derived from …