This paper examines the sources of real exchange rate (RER) volatility in eighty countries around the world, during the … the RER volatility. To that end, we employ two complementary procedures that consist in detecting structural breaks in the … RER series and decomposing volatility into its permanent and transitory components. The results confirm that exchange rate …

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … points. Our results reveal presence of volatility in the three currencies and equally indicate that most of the asymmetric … models rejected the existence of a leverage effect except for models with volatility break. Evaluating the models through …

post-Bretton Woods US dollar-pound sterling exchange rate and show that the excess volatility of the exchange rate return …

developed in order to replicate the volatility of the real exchange rate and its disconnect with macroeconomic variables. The …

evidence supporting the nonneutrality hypothesis of nominal exchange regime on RER volatility. Also, regime shifts play an …