A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for … volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion … specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential …

rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria … could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the … than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico's FXIs data …

Statistical measures of the volatility of exchange rates, interest rates, and stock prices are estimated for a number … of countries. Periods of high volatility are identified and compared with periods of financial difficulty. The results … indicate that GARCH models of volatility could be potentially useful in assessing financial soundness. Daily data are more …

for the period 1970–92. Simulation results indicate that the observed volatility of multilateral real exchange rates for … the United States, Germany and Japan is not inconsistent with exchange rate volatility implied by consumption …

fluctuations in real commodity prices. Increased exchange rate volatility calls for a better understanding of these relations. To …

standard estimation technique of exchange rate pass-through to inflation is extended to incorporate exchange rate volatility …Does the South African rand's relatively large volatility affect inflation? To shed some light on this question, a …. Estimated results suggest that higher exchange rate volatility tends to increase core inflation but to a relatively limited …

This paper investigates the consequences of exchange rate volatility on the variability of export prices and quantities …

This paper investigates the relationship between the nominal exchange rate regime and the volatility of relative … for primary commodities, the volatility of relative commodity prices rises when exchange rate uncertainty increases. If …