This study investigates the impacts of public expenditure innovations on exchange rate volatility in South Africa using … that public expenditure innovation has a significant depreciating trend impact on exchange rate volatility, and its impact … volatility does not rely on the direction of the innovation, it varies according to the state of the economy. Public expenditure …

We estimate a multivariate unobserved components-stochastic volatility model to explain the dynamics of a panel of six …

evidence supporting the nonneutrality hypothesis of nominal exchange regime on RER volatility. Also, regime shifts play an …

in consumption is important to duplicate the exchange rate volatility and exchange rate disconnect documented in the data … volatility while leaving the volatility of real macroeconomic variables, such as GDP, almost untouched. The model predicts the … volatility of the real exchange rate relative to that of GDP increases with the extent of home bias. This relation is strongly …

in explaining the exchange rate disconnect, excess volatility, and the uncovered interest parity (UIP) puzzles. We embed … vs. volatility shocks and linear vs. higher-order approximations, we find that shocks to macroeconomic fundamentals …