exert a volatility amplifying effect, depending on the currency of denomination and the cyclicality of the borrower … consumption volatility of low- and middle-income countries. On constructing the debt-weighted effective exchange rates, we examine …

exchange rate regime type (both de jure and de facto) and real exchange rate volatility serving as explanatory variables. The … findings reveal that fixed exchange rate regime and high real exchange rate volatility is promoting the foreign currency …

The current economic crisis has witnessed a strong deceleration in the growth of international trade. This has been … negative figures. In this paper, the authors examine to which extent exchange rate volatility might account for the drop in the …, augmented to include several measures of exchange rate volatility, for the four largest economies of the eurozone, i.e., France …

rate is focused on modeling its volatility. In contrast, this paper provides empirical analysis regarding the news impact … on the EUR/ALL exchange rate volatility, using TGARCH model. We argue that the series has three important features of … asset return proposed by the theory: unpredictability, fat tails and volatility clustering. The results show the existence …

. This leads to the question of which effect central bank transparency has on the volatility of exchange rates. According to … exchange rate volatility depends on the development of countries. While there is no effect of central bank transparency in the …

referendum date. Extracting implied distributions from the GBPUSD option volatility surface, we originally estimated, based on …

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 …

exchange rate variables such as the U.S. dollar exchange rate, etc. Second, we add exchange rate volatility as a control … volatility with an increase in return horizon. Consequently the ratio of firms with significant exposures increases with the … return horizons. Interestingly, the increase of exposure with the return horizons is faster for exposure to volatility than …

We analyze the effect of monetary policy transparency on bilateral exchange rate volatility. We test the theoretical … increase in the availability of information about monetary policy objectives decreases exchange rate volatility. Using …