Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange … rate uncertainty. The aim of our study is to investigate the limits of this statistic. We present some key factors that may … deviate the value of implied volatility from the exchange rate variability expected by the market. These biasing factors are …

This paper analyzes the relation between exchange rate volatility and several macroeconomic variables, namely real per … find that lower exchange rate volatility is associated with higher growth (for relatively less financially developed …

potential of nonlinear relationships linking exchange rate uncertainty and trade growth. Parametric linear and nonlinear as well … forecasts gain from conditioning on volatility. Empirical results support the view that the relationship of interest might be …

In this paper, a survey on theoretically expected and empirically proved impacts of exchange rate volatility is given …. With regard to the West German unemployment, the effects of volatility are empirically analysed using three different … volatility measures and four country groups. In autoregressive models, a significant disturbing impact of volatility can be found …

relationship between currency futures trading activity and spot volatility. Moreover, in the case of four out of the total of five … currencies discussed in this paper, futures trading activity adds significantly to spot volatility. …

Engel and Rogers (1996) find that crossing the US-Canada border can considerably raise relative price volatility and … that exchange rate fluctuations explain about one-third of the volatility increase. In re-evaluating the border effect …, this study shows that cross-country heterogeneity in price volatility can lead to significant bias in measuring the border …