Cotter, John (2004): Tail Behaviour of the Euro. Published in: Applied Economics , Vol. 37, (2005): pp. 1-14.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Tail Behaviour of the Euro|
|Subjects:||F - International Economics > F3 - International Finance > F31 - Foreign Exchange|
|Depositing User:||John Cotter|
|Date Deposited:||13. Jun 2007|
|Last Modified:||14. Feb 2013 16:35|
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