In this article, we investigate the role of US macroeconomic variables as leading indicators of regime shifts in the VIX index using a regime-switching approach. We find that there are three distinct regimes in the VIX index during the 1990 to 2010 period: tranquil regime with low volatility,...

This paper investigates the relative role of price discovery between two long-term swap contracts that exchange U.S. dollars for Japanese yen - the cross-currency basis swap and the foreign exchange (FX) swap - using structural state space models. Our main findings are that: (i) the currency...