Financial crisis risk, ECB “non-standard” measures, and the external value of the euro

Stefan Eichler

The Quarterly Review of Economics and Finance, 2012, vol. 52, issue 3, 257-265

Abstract: I study the impact of banking and sovereign debt crisis risk of EMU member states on the external value of the euro. Using a regime switching model, I find that the external value of the euro has significantly responded to financial crisis risk during the period of November 2008–November 2011, while no significant effect is found for the period from February 2006 to October 2008. This suggests that the monetary expansion and interest rate cuts associated with the ECB's “non-standard” measures may have reduced the external value of the euro.

Keywords: ECB; EMU; Exchange rate; Monetary policy; Regime switching model (search for similar items in EconPapers)
JEL-codes: E52 F32 F37 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:52:y:2012:i:3:p:257-265

DOI: 10.1016/j.qref.2012.06.001

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