Characterizing asset price volatility is an important goal for financial economists. The literature has shown that … variables that proxy for the information arrival process can help explain and/or forecast volatility. Unfortunately, however … improves foreign exchange and equity volatility forecasts. We find that capital flows can help explain transitory shocks to …

transitory components of the conditional variance exhibit several well-known peaks in volatilities; (ii) the long-run volatility … relationships are stronger than the short-run linkages volatility with a reinforcement during the post-global financial crisis …-run volatility, except for in the period after the Global Financial Crisis, where the foreign-exchange markets are the main long …

- and second-moment exchange rate exposure on individual firm value and the stock return volatility underlying exchange rate … equity financing cost. -- exchange rate exposure ; asymmetric currency exposure ; financial crises ; asymmetric volatility …