Volatility and the Euro : an Irish perspective

DSpace/Manakin Repository

Show simple item record

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 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

Size: 282.4Kb
Format: PDF
Download

This item appears in the following Collection(s)

Show simple item record

This item is available under the Attribution-NonCommercial-NoDerivs 3.0 Ireland. No item may be reproduced for commercial purposes. For other possible restrictions on use please refer to the publisher's URL where this is made available, or to notes contained in the item itself. Other terms may apply.

If you are a publisher or author and have copyright concerns for any item, please email research.repository@ucd.ie and the item will be withdrawn immediately. The author or person responsible for depositing the article will be contacted within one business day.

Search Research Repository


Advanced Search

Browse