Tail Behaviour of the Euro

John Cotter

Papers from arXiv.org

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.

Date: 2011-03
New Economics Papers: this item is included in nep-eec, nep-mic, nep-mon and nep-rmg
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http://arxiv.org/pdf/1103.5418 Latest version (application/pdf)

Related works:
Working Paper: Tail Behaviour of the Euro (2011)
Journal Article: Tail behaviour of the euro (2005)
Working Paper: Tail Behaviour of the Euro (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1103.5418

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