Spikes in exchange rate volatility and interest rate spreads tend to show up before major stresses in currency markets.

The improvement is accounted for by valuation adjustments, and the bulk of it by exchange rate movements. Conclusions. The increase in the degree of financial integration of the U.S. with the rest of ...

Changes in supply and demand for currencies prompted by the opportunity to exploit interest rate differentials can, therefore, result in sizeable and persistent exchange rate movements. Specifically, ...

We use panel quantile regressions to study extreme (rather than average) movements in the distribution of the real effective exchange rate (REER) of small open economies. We document that global ...