We argue that a transaction tax is likely to amplify, not dampen, volatility in the foreign exchange markets. Our …' traders' valuations. Since informed traders' valuations are likely to be less dispersed, a transaction tax penalises informed … trades disproportionately, leading to increased volatility. Empirical support for this prediction is found by investigating …

rules. However, mispricings increase for larger tax rates, since their harm the stabilizing fundamental trading rules, too …

This paper proposes a measure of exchange rate disconnect. Working in a two-currency international economy, our theory … of economies to reveal a geography of disconnect. Linking theory to returns of international bonds and equities, we …

volatility property and the structural break appear to be the common intrigue features of the exchange rates in the two periods … by using the FIGARCH model. In particular, the long memory volatility properties in the two periods are found to be …-FIGARCH model to consider the long memory volatility property and the structural breaks jointly. The main finding is that the …

In this paper we use three euro exchange rates to test for the presence of volatility spillovers, common volatility … components and time-varying correlations using the multivariate-GARCH model and the common volatility methodology approach … proposed by Engle and Kozicki (1993). Our results suggest that the three currencies exhibit some degree of volatility spillover …