This paper proposes an explanation of the shifts in the volatility of exchange rate returns that relies on standard … may lead agents to focus excessively on a subset of fundamental variables. As a result, exchange rate volatility is mainly … determined by the dynamics of this subset of fundamentals. As agents switch between models the nominal exchange rate volatility …

, to February 12, 2021, this study documents a strong positive comovement between implied volatility indices and two … proxies of the COVID-19 fear. However, in all the cases, the infectious disease equity market volatility index (IDEMVI), the … COVID-19 proxy that is more representative of the stock market, exhibits a stronger positive comovement with volatility …