This study investigates the effect of real exchange rate volatility on the distribution of income between labour and … exchange rate volatility is negative. Moreover, high exchange rate volatility impacts negatively on labour's income share …, while low exchange rate volatility impacts positively on labour income. As the magnitude of the effect of high exchange rate …

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 …

Heteroscedasticity) volatility dynamics. DCS models are robust to extreme observations, whereas standard financial time series models are … observations, stochastic seasonality with dynamic amplitude, and volatility dynamics. These seasonality dynamics of the GTQ/USD are … related to the Guatemalan trade-related currency movements, receipt and payment of foreign loans, and remittance payments of …

that although "commodity" and "industrial" EME are heterogeneous, REER volatility tends to be higher among the former. Yet …, REER volatility between emerging and advanced countries does not differ very much, apart from a few EME countries …

In this paper, we examine long-run determinants of cross-country variation in reserve volatility for 30 emerging market … volatility. The empirical results are robust for a range of control variables, including monetary variables, the degree of … be helpful in evaluating reserve volatility as a crisis indicator. …

volatility for 30 emerging market economies from 1973 to 2000. We find that reserve holdings and openness to be the most … important determinants of reserve volatility. These results are robust for a range of control variables, including monetary …

assessments on different sub-periods and exchange rate volatility effect on pass-through are also provided. …

Option prices seem to behave in ways inconsistent with the Black-Scholes model. Implied volatility varies with the … strike price in a parabolic shape that is often called the volatility 'smile.' My objective in this paper is to identify … promising in explaining the volatility smile. Applying this to the ERM data, I find that the probability of a devaluation in the …

This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns …-parametric Local Whittle method to estimate the long memory volatility dependency of the daily returns and the temporally aggregated … returns of the two exchange rates. Then it compares the effects of the two financial crises on the long memory volatility …