This paper studies dynamics of endogenous business cycles and exchange rate volatility in a small open economy. Without … exhibit a higher volatility than other prices. The numerical analysis shows examples which confirm the typical empirically … observed high volatility of nominal exchange rates compared with that of real/domestic variables. …

news and communication along with the estimated exchange rate misalignment on exchange rate as well as its volatility …

. -- high frequency data ; long memory ; volatility persistence ; structural breaks …

This paper proposes an explanation of the shifts in the volatility of exchange rate returns that relies on standard … may lead agents to focus excessively on a subset of fundamental variables. As a result, exchange rate volatility is mainly … determined by the dynamics of this subset of fundamentals. As agents switch between models the nominal exchange rate volatility …

. Daily data reveal significant differences in volatility on the last of three meeting days when the interest rate … macroeconomic news effects on the foreign exchange market. We find evidence for non-linear regime switching between a high-volatility …, informed-trading state and a low-volatility, liquidity-trading state. MPC surprise announcements are shown significantly to …