This paper applies nonparametric test procedures to test for a shift in the volatility of nominal and real exchange … rates for ERM members and nonmembers. The results imply a reduction in volatility for the ERM members, especially during the … expense of increased interest rate volatility. The issue of interest rate volatility during sterling’s participation in the …

Since 1997, the Bank of England Monetary Policy Committee (MPC) has met monthly to set the UK policy interest rate. We …. Daily data reveal significant differences in volatility on the last of three meeting days when the interest rate … macroeconomic news effects on the foreign exchange market. We find evidence for non-linear regime switching between a high-volatility …