for the period 1970-92. Simulation results indicate that the observed volatility of multilateral real exchange rates for … the United States, Germany and Japan is not inconsistent with exchange rate volatility implied by consumption …

the exchange rate volatility, cyclicality and the FX risk premia in the data …

exchange rate variables such as the U.S. dollar exchange rate, etc. Second, we add exchange rate volatility as a control … volatility with an increase in return horizon. Consequently the ratio of firms with significant exposures increases with the … return horizons. Interestingly, the increase of exposure with the return horizons is faster for exposure to volatility than …

Engel and Rogers (1996) find that crossing the US-Canada border can considerably raise relative price volatility and … that exchange rate fluctuations explain about one-third of the volatility increase. In re-evaluating the border effect …, this study shows that cross-country heterogeneity in price volatility can lead to significant bias in measuring the border …