introduce a model for asset return dynamics with a drift component, a volatility component and mutually exciting jumps known as …

We develop a novel measure of volatility pass-through to assess international propagation of output volatility shocks … to macroeconomic aggregates, equity prices,and currencies. An increase in country's output volatility is associated with … volatility increases consumptionvolatility by 0.5%) and it increases to 70% for shocks originating in smaller countries. The …

suffered most increases in output volatility as a result …

This paper documents large cross-country differences in the long run volatility of the real exchange rate. In … exchange rate in industrial countries. The paper tests whether this difference in volatility can be explained by the fact that … the difference in RER volatility between developing and industrial countries. Results from ARCH estimations confirm that …