Consensus forecasts for the global economy over the medium and long term predict the world's economic gravity will … substantially shift towards Asia and especially towards the Asian Giants, China and India. While such forecasts may pan out, there …

This paper addresses the puzzle of regime-dependent volatility in foreign exchange. We extend the literature in two … induce volatility under flexible rates because they have portfolio-balance effects on price, whereas under fixed rates the …

We investigate the relationship between financial integration and output volatility at micro and macro levels. Using a … regional level based on foreign ownership at the firm level. We find a positive effect of foreign ownership on volatility of … higher levels of financial integration and volatility …

A gravity model is used to assess the separate effects of exchange rate volatility and currency unions on international … exchange rate volatility, even after controlling for a host of features, including the endogenous nature of the exchange rate …

Current debates on globalization have tended to focus on financial market volatility and contagion. In fact, many … whether there has been volatility contagion from Mexico to the two South American nations. The results obtained from the … estimation of augmented GARCH equations indicate, quite strongly, that while there has been volatility contagion from Mexico to …

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated … volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads … estimate of the effect of the volatility on the spreads. Although the spread-volatility relation implied by the option model of …