In this paper, we examine the intra-day effects of verbal statements and comments on the FX market uncertainty using two measures: continuous volatility and discontinuous jumps . Focusing on the euro-dollar exchange rate, we provide empirical evidence of how these two sources of uncertainty...

We estimate regime switching models where the strength of the response of monetary policy to macroeconomic conditions depends on the level of risk associated with the inflation outlook and risk in financial markets. Using quarterly data for the Greenspan period we find that: i) risk in the...

In this paper a new approach relying on news wire reports is used to capture all the transparency elements in the exchange rate intervention policy of the Bank of Japan during the period 1991-2004. As suggested by Enoch (1998), we distinguish three types of transparency: ex ante transparency,...