Tail behaviour of the Euro

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Title: Tail behaviour of the Euro
Authors: Cotter, John
Permanent link: http://hdl.handle.net/10197/1140
Date: 2004
Online since: 2009-05-26T14:17:12Z
Abstract: This paper empirically analyses risk in the Euro relative to other currencies. Comparisons are made between a sub period encompassing the final transitional stage to full monetary union with a sub period prior to this. Stability in the face of speculative attack is examined using Extreme Value Theory to obtain estimates of tail exchange rate changes. The findings are encouraging. The Euro’s common risk measures do not deviate substantially from other currencies. Also, the Euro is stable in the face of speculative pressure. For example, the findings consistently show the Euro being less risky than the Yen, and having similar inherent risk to the Deutsche Mark, the currency that it is essentially replacing.
Funding Details: University College Dublin President’s awards
Type of material: Working Paper
Publisher: University College Dublin. School of Business. Centre for Financial Markets
Series/Report no.: Centre for Financial Markets working paper series; WP-04-12
Copyright (published version): Centre for Financial Markets, 2004
Keywords: Extreme Value TheoryThe EuroGARCHTail Behaviour
Subject LCSH: Euro
Extreme value theory
International finance--Econometric models
Foreign Exchange--Econometric models
Other versions: http://www.ucd.ie/bankingfinance/docs/wp/COTTER7.PDF
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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