. 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 …, informed-trading state and a low-volatility, liquidity-trading state. MPC surprise announcements are shown significantly to …

Geldpolitik und die Frage, wer die endgültige Verantwortung für die Geldpolitik trägt. Das Papier zeigt auf, dass die …

the conditional mean in only one case. Both volatility increasing and decreasing effects are found for the conditional … the six ERM I exchange rates only in periods of low and medium volatility. For the conditional variance more volatility …

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

rates at a given future date triggers a reduction in exchange rate volatility during the interim period. Using a Markov …-switching GARCH model this paper estimates the volatility processes of four EMU exchange rate returns vis-?-vis the German mark using …