volatility in determining a firm's debt currency composition, among other channels. Furthermore, the effect of exchange rate … volatility becomes statistically insignificant beyond an estimated threshold credit-to-GDP ratio of 100 percent …

This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns …-parametric Local Whittle method to estimate the long memory volatility dependency of the daily returns and the temporally aggregated … returns of the two exchange rates. Then it compares the effects of the two financial crises on the long memory volatility …