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 …

velocity volatility at both business cycle and long run frequencies. With filtered velocity turning negative, starting during …

reveal that higher margins have a much stronger negative relation to subsequent volatility in bull markets than in bear …

forward premia on monthly exchange rate returns in a framework that allows for volatility timing. We implement Bayesian … methods for estimation and ranking of a set of empirical exchange rate models, and construct combined forecasts based on … stochastic volatility innovations; and (ii) strategies based on combined forecasts yield large economic gains over the random …

outside the Union. The analysis indicates the need to distinguish between short-term oscillations (i.e. volatility) and medium …

Black/Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the … underlying asset’s return is a deterministic function of the asset price and time, and develop the deterministic volatility … 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive …

volatility of state output growth, rather than in its average. The realized industry shares of output also converge faster to …

volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or … not for the positive tail. We also find that correlation is not related to market volatility per se but to the market …

This paper relates the volatility of the (trade-weighted) effective real exchange rate to the degree of trade openness … share of an economy and the volatility of its real exchange rate. Empirical evidence on a cross-section of 54 countries … confirms this relationship: Difference in trade openness explain a large part of the cross-country variation in the volatility …

This paper presents instrumental variables estimates of the effects of GDP per capita volatility on the size of … government. We show that for a panel of 157 countries spanning more than half a century rainfall volatility has a significant … positive effect on GDP per capita volatility in countries with above median temperatures. In these countries rainfall …