in consumption is important to duplicate the exchange rate volatility and exchange rate disconnect documented in the data … volatility while leaving the volatility of real macroeconomic variables, such as GDP, almost untouched. The model predicts the … volatility of the real exchange rate relative to that of GDP increases with the extent of home bias. This relation is strongly …

This paper conducts general equilibrium (GE) estimation to evaluate the empirical contributions of macroeconomic shocks … in explaining the exchange rate disconnect, excess volatility, and the uncovered interest parity (UIP) puzzles. We embed … vs. volatility shocks and linear vs. higher-order approximations, we find that shocks to macroeconomic fundamentals …

This study investigates the impacts of public expenditure innovations on exchange rate volatility in South Africa using … that public expenditure innovation has a significant depreciating trend impact on exchange rate volatility, and its impact … volatility does not rely on the direction of the innovation, it varies according to the state of the economy. Public expenditure …

This study investigates the effect of real exchange rate volatility on the distribution of income between labour and … exchange rate volatility is negative. Moreover, high exchange rate volatility impacts negatively on labour's income share …, while low exchange rate volatility impacts positively on labour income. As the magnitude of the effect of high exchange rate …

markets can address the exchange rate volatility puzzle, the exchange rate persistence puzzle, the consumption real exchange …