Volatility and the Euro : an Irish perspective

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dc.contributor.author Cotter, John
dc.date.accessioned 2009-11-19T17:21:33Z
dc.date.available 2009-11-19T17:21:33Z
dc.date.copyright 2000 Statistical and Social Inquiry Society of Ireland en
dc.date.issued 2000
dc.identifier.citation Journal of the Statistical and Social Inquiry Society of Ireland en
dc.identifier.uri http://hdl.handle.net/10197/1632
dc.description.abstract How volatile is the euro currency? Given Ireland’s open economy status and its strong trading dependency on economies outside the euro area, understanding this question is vital. The paper analyses the volatility levels facing Irish economic agents by comparing the experiences from membership of the European Monetary System (EMS) through to the new single currency. The focus is on measuring volatility using two methodologies - Conditional Variance GARCH models and Extreme Value Theory models. It shows that whilst average volatility levels of the euro exceed the Irish pound’s experience within the EMS, the probability that fluctuations such as those that arose during the currency crises of 1992/93 now appear less likely to occur. en
dc.format.extent 289251 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher Statistical and Social Inquiry Society of Ireland en
dc.subject.lcsh Risk--Econometric models en
dc.subject.lcsh Euro en
dc.subject.lcsh Money--Ireland en
dc.title Volatility and the Euro : an Irish perspective en
dc.type Journal Article en
dc.internal.authorurl John Cotter (web page) en
dc.internal.authorurl http://www.ucd.ie/research/people/business/drjohncotter/ en
dc.internal.authorid UCD0043 en
dc.internal.availability Full text available en
dc.internal.webversions Publisher's version en
dc.internal.webversions http://www.tara.tcd.ie/bitstream/2262/1477/1/jssisiVolXXIX_83115.pdf en
dc.status Peer reviewed en
dc.identifier.volume XXIX en
dc.identifier.startpage 83 en
dc.identifier.endpage 115 en
dc.neeo.contributor Cotter|John|aut|UCD0043 en


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