measures of linear dependence and feedback indicate strong connections between the respective markets, futures volatility does … not significantly explain spot market volatility, nor does it increase after futures introductions. To account for the … characteristics of the spot and futures returns a SWARCH model has been employed to estimate volatility …

There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and … associated bond yields by estimating the volatility and jump risk premia in highly volatile markets. Using the simulated method … of moments (SMM), results suggest that all variants of models which do not take into account stochastic volatility and …

high volatility in their revenues, this paper proposes a fiscal policy rule for Kiribati which is nested within a medium … revenue volatility. It also discusses improvements in the institutional fiscal policy framework that could support such a …

This paper presents a method to test the volatility predictions of the textbook asset-pricing exchange rate model … builds on existing tests of excess volatility in asset prices, combining them with a procedure that extracts unobservable … 1984 and find broad evidence of excess exchange rate volatility with respect to the predictions of the canonical asset …

volatility creates risks to service provision, possibly entailing sudden tax changes, or even requiring new borrowing. After … fiscal savings (reserves), and the impact alternate policy choices could have on revenue volatility …

country’s growth volatility changes over time. With volatility below a threshold, an inflow of foreign capital has promoted … growth. However, during periods of volatile growth, more flows have been associated with slower growth. Volatility levels and …

This paper explores the link between exchange rate volatility of European currencies and economic performance of … several countries in the Middle East and North Africa (MENA). The elimination of intra euro-zone exchange rate volatility …

This paper studies the effect of instrumental and institutional stabilization of exchange rate volatility on the …

, such capital controls have the merit of reducing the volatility of exchange rates following a monetary shock. On the other … hand, the implementation increases exchange rate volatility in the short run and induces costs for the real sector in the …