positively related to exchange rate volatility as well as to transportation costs. (2) Once we have controlled for these two …

forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility … variation, we formally develop the links between the conditional covariancematrix and the concept of realized volatility. Next …

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 …

influenced by exchange rate shocks and much slower to adjust to long run steady states. The United States, Japan, Canada, the …

). For two of the four countries we study, Germany and Japan, our structural estimates imply that monetary shocks, to money …

We introduce the real exchange rate volatility curve as a useful device to understand the role of price stickiness in … theory predicts that the real exchange rate volatility curve is a U-shaped function of the degree of price stickiness. Using … sector-level European real exchange rate data and frequency of price changes, we estimate the volatility curve. The results …

exchange rate so as to facilitate terms of trade adjustment. We show that optimal nominal exchange rate volatility will reflect … bias in production. Quantitatively, we find the optimal exchange rate volatility should be significantly less than would be … optimal exchange rate volatility may be non-monotonic …

This paper explores the hypothesis that high volatility of real and nominal exchange rates may be due to the fact that … necessary to construct such an explanation for exchange rate volatility. In addition to the presence of local currency pricing … parity. Together, it is shown that these elements can produce exchange rate volatility that is much higher than shocks to …