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Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model 1 Introduction 1 Empirical model 3 Formulation as a linear state-space model and estimation procedure 3 Link between interest rates, carry trades, and FX volatility 4 Simulation study 7 Simulation set-up 7 Simulation results 7 Data 9 Empirical results 10 MCMC diagnostics 10 Impact of interest rate differentials on FX volatility 12 Model comparison and goodness-of-fit 14 Robustness checks 15 Conclusions 16 CRediT authorship contribution statement 17 Acknowledgments 17 Appendix A. Carry trade channel 17 Appendix B. Detailed sampling steps and prior assumptions 17 Appendix C. Robustness checks 21 References 23

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Language

UND

Category

nonfiction