in consumption is important to duplicate the exchange rate volatility and exchange rate disconnect documented in the data … volatility while leaving the volatility of real macroeconomic variables, such as GDP, almost untouched. The model predicts the … volatility of the real exchange rate relative to that of GDP increases with the extent of home bias. This relation is strongly …

We investigate the impact of the European Central Bank's monetary policy announcements on the level and volatility of …

transition from the former to the latter. With respect to the volatility transmission from interest rates to exchange rates and …

transition from the former to the latter. With respect to the volatility transmission from interest rates to exchange rates and … ; Multivariate volatility …

This paper proposes an explanation of the shifts in the volatility of exchange rate returns that relies on standard … may lead agents to focus excessively on a subset of fundamental variables. As a result, exchange rate volatility is mainly … determined by the dynamics of this subset of fundamentals. As agents switch between models the nominal exchange rate volatility …

volatility with the apparent reality that macroeconomic fundamentals do not drive G3 exchange rates in the short-run. The recent … on the extent to which domestic inflation and interest rate surprises contribute to short-run volatility in G3 exchange … a relationship between transparency and volatility, we estimate and analyze structural VAR models of relative interest …