A recent literature has pointed at potential negative effects of exchange rate volatility on innovation. In this paper, we propose that there may be a direct effect as well as an indirect effect via export activity. We test these hypotheses for sectoral R&D intensities using OECD panel data for...

We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on economic activity and welfare. In the first part of the paper, the GARCH-SVARmodel is applied to measure empirically the effect of the conditional exogenous exchange rate...

A recent literature has pointed at potential negative effects of exchange rate volatility on innovation. In this paper, we propose that there may be a direct effect as well as an indirect effect via export activity. We test these hypotheses for sectoral R&D intensities using OECD panel data for...

This study considers the long memory and fractional integration in the range-based volatilities across 30 currencies against USD. Graphical analysis of the autocorrelation function at long lags and pole near zero frequencies in the periodogram suggests the existence of fractional integration. We...

Turkey has experienced a rapid increase in exports during the last two decades. In addition, there has been a significant increase in the exchange rate and its volatility in recent years. Hence, the empirical examination of the volatility-export nexus in a comprehensive framework seems to be...

This paper examines the impacts of U.S. conventional and unconventional monetary policy announcements on the volatility of six exchange rates, namely Australian dollar, British pound, Canadian dollar, Euro, Japanese yen, and Swiss franc against the U.S. dollar. Narrow windows around policy...

This study employs measures of variability and three GARCH models to comparatively explore the behaviour of exchange rate volatility of the currencies in the West African Monetary Zone (WAMZ) for the period 1960M01-2011M12. The study selects a sub-sample period of 2000M1 to 2011M12 to...

The exchange rate between the Naira and other currencies has continued to witness variability with depreciation. This variability makes it difficult to predict returns. Against this background, this paper examines the naira exchange rate vis-a-vis four other currencies. The impact of exogenous...

We use an impulse response methodology to analyse the effects of U.S. macroeconomic news announcements on the volatilities of three major exchange rates (Euro, Pound Sterling and Yen). Our data consist of 5 minute returns on exchange rates as well as the times of news announcements. In the...

By computing a volatility index (CVX) from cryptocurrency option prices, we analyze this market's expectation of future volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable market implied volatilities. Two alternative...