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 …

This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission …'s operational framework for monetary policy implementation. Strong persistence is detected in all log-volatility processes and and …. the second factor explains the transmission of volatility along the money market yield curve. We find evidence that most …

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 … country-specific GARCH models, and across different data requencies, time periods and econometric methodologies. From a policy …

doubled or tripled their impact on other stock markets. At the same time, there is evidence that sectors have become more …

monetary policy time-inconsistency due to Cukierman (2002). In the presence of asymmetric preferences, the monetary authorities …

the recoverable structure. As an application of our method we estimate the parameters of a model of the USA monetary …