We develop a novel measure of volatility pass-through to assess international propagation of output volatility shocks to macroeconomic aggregates, equity prices, and currencies. An increase in country's output volatility is associated with a decrease in its output, consumption, and net exports....

We develop a novel measure of volatility pass-through to assess international propagation of output volatility shocks to macroeconomic aggregates, equity prices,and currencies. An increase in country's output volatility is associated with adecrease in its output, consumption, and net exports....

We show novel empirical evidence on the significance of output volatility (vol) shocks for both currency and international quantity dynamics. Focusing on G-17 countries, we document that: (1) consumption and output vols are imperfectly correlated within countries; (2) across countries,...

We propose and estimate a quantitative model of exchange rates in which the participantsin the FX market are intermediaries subject to value-at-risk (VaR) constraints. Higher volatilitytranslates into tighter VaR constraints, and intermediaries require higher returns to holdforeign assets....

Liquidity is one of the crucial factors in economy which reflects smooth operation of the markets. In a liquid market, traders are able to transact large quantities of security quickly with minimal trading cost and price impact. Many researchers have investigated the relationship between market...