Little is known about the adequacy of changes in reserves as a proxy for intervention despite its use in computing exchange market pressure index. This paper demonstrates the co-movement between monthly reserves changes and intervention is governed by intervention amount, the frequency of the...

An impulse response function is derived for a vector autogressive model with a multivariate GARCH-in-Mean process. The multivariate GARCH volatility speci cation is based on Tsiaplias and Chua (2009) and accommodates both direct and indirect volatility spillovers. The impulse response function...

The use of parametric GARCH models to characterize crude oil price volatility is widely observed in the empirical literature. In this paper, we consider an alternative approach involving nonparametric method to model and forecast oil price return volatility. Focusing on two crude oil markets,...

The Friedman-Ball hypothesis implies a link between the inflation rate and inflation uncertainty. In this paper we employ a new test for the joint null hypothesis of no dependence effects and no asymmetry in the G7 inflation volatility. The results show that higher inflation rates operate...