dc.contributor.author | Cotter, John | |
dc.date.accessioned | 2006-09-19T14:18:48Z | |
dc.date.available | 2006-09-19T14:18:48Z | |
dc.date.issued | 2000 | |
dc.identifier.citation | Cotter, John. 'Volatility and the Euro: an Irish perspective' - Dublin: Journal of the Statistical and Social Inquiry Society of Ireland,Vol. XXIX, 1999/2000, pp83-115 | en |
dc.identifier.issn | 00814776 | |
dc.identifier.other | JEL C320 | |
dc.identifier.other | JEL F310 | |
dc.identifier.other | JEL G150 | |
dc.identifier.other | Y | |
dc.description | Read before the Society, 17 February 2000 | en |
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.relation.ispartofseries | Journal of the Statistical and Social Inquiry Society of Ireland | en |
dc.relation.ispartofseries | Vol. XXIX, 1999/2000, pp83-115 | en |
dc.source | Journal of The Statistical and Social Inquiry Society of Ireland | |
dc.source.uri | http://www.ssisi.ie | |
dc.subject | Currency Volatility | en |
dc.subject | GARCH | en |
dc.subject | Extreme Value Theory | en |
dc.subject.ddc | 314.15 | |
dc.title | Volatility and the Euro: an Irish perspective | en |
dc.type | Journal article | en |
dc.status.refereed | Yes | |
dc.identifier.uri | http://hdl.handle.net/2262/1477 | |