In the aftermath of the Taper Tantrum episode, the Central Bank of Brazil announced a major program of intervention in foreign exchange markets on August 2013, with daily sales of FX futures settling in domestic currency swaps that provided insurance against a depreciation of the real. We analyze the effect of that program on the level and volatility of the exchange rate using a synthetic contr...

What should be the appropriate macroeconomic policy to minimize the volatility of output in a resource-based economy, i.e. in an economy that is highly dependent on export of resources with very volatile world prices? This paper examines the sources of volatility of output in Russia as compared to other countries and concludes that in 1994-2004 volatility of Russian growth rates was mostly asso...

The volatility dynamics of foreign exchanges have been the focus of research since Bollerslev’s (1986) seminal work on the generalized autoregressive conditional heteroscedasticity (GARCH) modelling. Several well-established empirical regularities may be highlighted as follows: [a] evidence of volatility clustering is detected in the exchange rates returns; [b] asymmetric effects in exchange ra...

The relation between the volatilities of pricing kernels associated with different currencies and the volatility of the exchange rate between the currencies is derived under the assumption of integrated capital markets, and the volatilities of the pricing kernels are related to the foreign exchange risk premium. Time series of pricing kernel volatilities are estimated from panel data on bond yi...

in this paper, based on a new keynesian structure, we have analyzed monetary policy response to exchange rate volatilities in iran. for this purpose, first, exchange rate derived from equilibrium condition in exchange market and then two different models have been estimated. assumption on the first model is that central bank responses to exchange rate volatilities and the assumption on the seco...

In this paper, we investigate the long run dynamics of the intraday range of the GBP/USD, JPY/USD and CHF/USD exchange rates. We use a non-parametric filter to extract the low frequency component of the intraday range, and model the cyclical deviation of the range from the long run trend as a stationary autoregressive process. We find that the long run trend is time-varying but highly persisten...