This paper analyzes and compares range-based and return-based variance/covariance estimates. We provide new results on the relative efficiency of the range. We show that the use of the range is compatible with time varying volatilities and we extend the range to a multivariate setup. A new...

This Note describes how risks arising from climate change may affect financial stability. We describe how climate-change related risks may emerge either as shocks to the financial system or as financial system vulnerabilities that could amplify the effects of these or other shocks

This paper analyzes exchange rate turmoil with a Markov Switching GARCH model. We distinguish between two different regimes in both the conditional mean and the conditional variance: "ordinary" regime, characterized by low exchange rate changes and low volatility, and "turbulent" regime,...

This report has two objectives: 1. Review the available literature on Climate-Related Financial Stability Risks (CRFSRs) as it pertains to the United States. Specifically, the literature review considers several modeling approaches and aims to 1.1 Identify financial market vulnerabilities (e.g.,...

The aim of this paper is to model the dynamic evolution of daily log-price ranges for two foreign exchange rates, SF/USD and USD/GBP. Following Chou (2001),we adopt the CARR model, which is identical to the ACD model of Engle & Russell (1998). Log-price ranges are highly efficient measures of...

We study the motivations of interbank market traders around the 2007-09 subprime crisis with a new statistic that reveals the underlying urgency to borrow overnight funds, which we call Trading Urgency. We find that Trading Urgency leads sovereign CDS spreads and reacts to non-standard central...