Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums … general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …

exert a volatility amplifying effect, depending on the currency of denomination and the cyclicality of the borrower … consumption volatility of low- and middle-income countries. On constructing the debt-weighted effective exchange rates, we examine …

We provide a comprehensive assessment of volatility connectedness between the currencies of Central European (CE … currencies before) and document domination of the negative volatility, especially during periods of economic distress. We further … robust with respect to a volatility measure and provide direct policy implications for portfolio composition and hedging. …

taken by domestic agents. The Portfolio Theory of Inflation (PTI) developed in this study assumes that some critical …

The Portfolio Theory of Inflation (PIT) proposed in this study investigates the role of global financial markets in …