Tail behaviour of the Euro

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.