Option prices seem to behave in ways inconsistent with the Black-Scholes model. Implied volatility varies with the … strike price in a parabolic shape that is often called the volatility 'smile.' My objective in this paper is to identify … implied probability distributions that might explain this anomaly. I develop a simulated method of moments estimation …

A gravity model is used to assess the separate effects of exchange rate volatility and currency unions on international … trade, and a small negative effect of exchange rate volatility, even after controlling for a host of features, including the …

This paper considers the effect of currency union on exchange rate volatility. At a theoretical level, a simple … framework is developed for thinking about volatility and exchange rate arrangements and some inferences are drawn from it …. Empirically, the interaction between currency areas and exchange rate volatility is analysed by constructing counterfactual …