Among the harmful effects of inflation, the negative consequences of inflation volatility are of particular concern … inflation volatility. Major results are robust for unconditional and conditional inflation volatility, the latter derived from …

We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on … of the conditional exogenous exchange rate volatility on the conditional mean of the endogenous variables in our open … empirically. In the second part, we investigate the effect of non-fundamental exchange rate volatility in a stochastic open …

This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative … investors of different sophistication, and (ii) investor sophistication matters for performance in both public equity and … international equity trades: (i ) trading by US investors occurs in bursts of simultaneous buying and selling, (ii ) Americans build …

leverage and asset volatility. We conclude that the bilateral cross-sector exposures in the euro area financial system … financial intermediaries playing a key role in the processes. High financial leverage and high asset volatility are found to …

Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the … United States and Japan, respectively. Our estimation framework allows a distinction to be made between spillover effects … January 1986 and October 2002. We find that, during the late 1990s, the worldwide importance of European equity markets has …

international equity transactions that accentuate the role of international risk sharing as a factor for the macroeconomic response … attract equity inflows in excess of those needed to finance the current account. Upward-biased expectations about prospects …