This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss … franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic … significant co-movements and volatility spillovers across the four exchange returns, but their extend is, on average, lower in the …

left foreign exchange intervention unsterilized when Japan entered the liquidity trap in 1999. According to previous … volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …