comparing the short-term (i.e. month-to-month) volatility of New Zealand's exchange rate to other economies, on a trade …-term volatility out of the economies included in the analysis. Factors that affect the expected relative return on New Zealand dollar …

increases exchange rate volatility (and spread) for the next minutes but that intervention days show a lower degree of … volatility (and spread) than non-intervention days. We also show for intraday data that the price impact of interbank order flow … position taking, the targeted exchange rate range holds and volatility, spread and price impact go down. Overall, the credible …

Recent theory on exchange rate dynamics suggests that the mere announcement of regime switching from floating to fixed … 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 …

Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange … deviate the value of implied volatility from the exchange rate variability expected by the market. These biasing factors are … one month. However, implied volatility provides a biased estimate, and does not encompass the information included in …

rate adjustments. The formulation is theory-based, relying on balance of payments equilibrium conditions and international …

exchange rate so as to facilitate terms of trade adjustment. We show that optimal nominal exchange rate volatility will reflect …. Quantitatively, we find the optimal exchange rate volatility should be significantly less than would be inferred based solely on … volatility may be non-monotonic. …

period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign …

evolves over time and that it is different under different market conditions defined by exchange rate volatility. Further, we …