In this paper, we examine external, monetary, and structural determinants of crosscountry variation in reserve volatility for 30 emerging market economies from 1973 to 2000. We find that reserve holdings and openness to be the most important determinants of reserve volatility. These results are...

In this paper, we examine long-run determinants of cross-country variation in reserve volatility for 30 emerging market economies from 1973 to 2000. Reserve holdings and openness are found to be the most important explanatory variables of reserve volatility. The empirical results are robust for...

In this paper, the effects of the US stock market returns, exchange rate changes and volatilities on stock market volatilities in 10 emerging market economies between 2000-2013 (also two sub-periods covering the time between 2000-2007, and between 2008-2013) have been analysed with separate 30...

We study variations in the risk-neutral distributions of the exchange rates in Brazil, Chile, Colombia, Mexico, and Peru due to interventions implemented by these countries. For this purpose, we first estimate the risk-neutral densities of the exchange rates based on derivatives market data, for...

This study investigates the dynamic spillover effects of the Citi short- and long-term macro risk indexes on foreign exchange markets in the fragile five countries. First, we provide an evidence for the co-movement behavior of foreign exchange markets in emerging countries. Second, we estimate...

In this paper, we examine external, monetary, and structural determinants of crosscountry variation in reserve volatility for 30 emerging market economies from 1973 to 2000. We find that reserve holdings and openness to be the most important determinants of reserve volatility. These results are...

In this paper, we examine long-run determinants of cross-country variation in reserve volatility for 30 emerging market economies from 1973 to 2000. Reserve holdings and openness are found to be the most important explanatory variables of reserve volatility. The empirical results are robust for...

This study investigates the relationship between cross-sectional carry trade returns and global foreign exchange volatility risk. During periods of high volatility innovations, the average carry trade returns on emerging markets are higher than that of all countries or developed economies....