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Tail behaviour of the Euro
Author(s)
Date Issued
2004
Date Available
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.
Sponsorship
University College Dublin President’s awards
Type of Material
Working Paper
Publisher
University College Dublin. School of Business. Centre for Financial Markets
Series
Centre for Financial Markets working paper series
WP-04-12
Copyright (Published Version)
Centre for Financial Markets, 2004
Classification
G15
F31
Subject – LCSH
Euro
Extreme value theory
International finance--Econometric models
Foreign Exchange--Econometric models
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
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