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 …

We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on … economic activity and welfare. In the first part of the paper, the GARCH-SVARmodel is applied to measure empirically the effect … of the conditional exogenous exchange rate volatility on the conditional mean of the endogenous variables in our open …

Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the … United States and Japan, respectively. Our estimation framework allows a distinction to be made between spillover effects …

-hype and different volatility regimes. This contrasts with e.g. Rouwenhorst (1999), who finds, based on a different methodology …

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 …