Foreign exchange (FX) trading volume is a key factor in exchange rate volatility. Given the important role of volatility in economic growth and stability, this paper investigates the dynamic nature of exchange trading volume on exchange rate volatility using hourly high-frequency data. The...

This report provides an overview of the technical assistance provided by the International Monetary Fund (IMF) to the Banco de la República to support the authorities in reviewing the regulatory framework and formulating development strategies for the foreign exchange market

The economic literature has long attributed non-zero expected excess returns in currency markets to time-varying risk premiums demanded by risk-averse investors. This paper, building on Bacchetta and van Wincoop's (2021) portfolio balance framework, shows that such returns can also arise when...

We perform a quantitative synthesis of 807 estimates of the effect of macroeconomic news announcements on exchange rates, as reported in 25 studies. Estimates are tested for publication selection using visual examination of funnel plots, linear asymmetry tests, and recent non-linear testing...

Using novel methods, we comprehensively analyze volatility connectedness among most traded currencies using high-frequency data from 2009 to 2023. Our study presents the first empirical evidence of a statistically significant association between increases in connectedness and endogenously...

What can we learn from the high-frequency responses in bond and currency markets to the recent tariff announcement about the status of the U.S. dollar as the global reserve currency? The dollar depreciated by 6.5% after April 1 in spite of rising U.S. interest rates and market volatility, which...