We argue that a transaction tax is likely to amplify, not dampen, volatility in the foreign exchange markets. Our …' traders' valuations. Since informed traders' valuations are likely to be less dispersed, a transaction tax penalises informed … trades disproportionately, leading to increased volatility. Empirical support for this prediction is found by investigating …

This paper proposes a measure of exchange rate disconnect. Working in a two-currency international economy, our theory … of economies to reveal a geography of disconnect. Linking theory to returns of international bonds and equities, we …

volatility property and the structural break appear to be the common intrigue features of the exchange rates in the two periods … by using the FIGARCH model. In particular, the long memory volatility properties in the two periods are found to be …-FIGARCH model to consider the long memory volatility property and the structural breaks jointly. The main finding is that the …

Reduced exchange rate volatility and higher and less heterogeneous quality of institutional rules and macroeconomic …

- 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering … prices. Having identified subperiods of homogeneous volatility dynamics we concentrate on stylized facts to distinguish these … volatility regimes. The bottom level of estimated volatility turns out be considerably higher during the second part of the …

This paper investigates the effect of inflation volatility on private sector credit growth. The results indicate that … private sector credit growth is positively linked to the one period lagged inflation volatility. Given that past monetary … positive response of private sector credit growth to past inflation volatility suggests a credible monetary policy regime in …

post-Bretton Woods US dollar-pound sterling exchange rate and show that the excess volatility of the exchange rate return …