Does distance matter for the volatility of international real and financial transactions? We show that it does, in …

following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …

with time-varying loading coefficients and stochastic volatility, which allows for capturing changes in the pricing …

We build a dynamic factor model with time-varying parameters and stochastic volatility and use it to decompose the … common global uncertainty plays a primary role in explaining the volatility of inflation, interest rates and stock prices …, although to a varying extent over time. Region-specific uncertainty drives most of the exchange rate volatility for all Euro …

This paper analyzes the relation between exchange rate volatility and several macroeconomic variables, namely real per … find that lower exchange rate volatility is associated with higher growth (for relatively less financially developed …