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 …

fundamentals are I(1) and the factor for discounting future fundamentals is near one. We suggest that this may apply to exchange …

The paper proposes a multi-factor international asset pricing model in which the exchange rate is allowed to be co …-determined by a risk factor imperfectly correlated to other priced risks in the economy. The significance of this factor can be … comparison of models allowing for an independent OF risk factor with a restricted one, where the forex order flow plays no role …

In this note we demonstrate that in affine models for bilateral exchange rates, the nature of return interdependence … or weak, in the sense that the dependence remains or vanishes asymptotically. We show that if one currency return reaches …

In this paper we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR …

issue. Employing a factor model coupled with a dataset of high-frequency portfolio capital flows to 50 economies, the paper …