Volkov, Nikanor

This study investigates the effects of energy price shocks on exchange rate volatility in
five major energy-producing countries Russia, Brazil, Mexico, Canada, and Norway. There are
noticeable differences in the behavior of the exchange rate between emerging markets and
advanced economies. Russia and Brazil exhibit different patterns from those of Canada and
Norway in the direction and magnitude of conditional exchange rate volatility. The R2 for Russia
and Brazil more than doubles when oil prices are incorporated into the fundamental model, but it
increases only slightly for Canada and Norway. Our VAR analysis indicates that a one-standarddeviation
increase in oil prices causes all currencies to appreciate after the shock, but the postshock
adjustment process is relatively short in Norway and Canada and longer in Russia, Brazil,
and Mexico. Our empirical analysis further reveals that there is evidence for positive
overshooting in Russia and Brazil, and negative overshooting in Canada and Mexico. The
asymmetric behavior of exchange rate volatility among countries seems to be related to the
efficiency of financial and foreign exchange markets rather than to the importance of oil
revenues in an economy.

I empirically investigate the managements’ decision to voluntarily disclose strategic information. While carrying a benefit of reduced information asymmetry, strategic information disclosure carries a cost of investors disagreeing with managements’ strategy and thus refusing to provide funding to the firm. Using a hand- collected sample of information releases, I identify firm characteristics that affect the likelihood of strategic information disclosure.