Advanced Search
MyIDEAS: Login to save this paper or follow this series

Volatility and the Euro: an Irish perspective

Contents:

Author Info

  • Cotter, John

Abstract

With Ireland joining the Euro, exchange rate risk between participating states is gone. However, as is known, this new currency will continue to face exchange rate risk, and the general reduction of volatility on a day to day basis for Irish economic agents neglects to take account of possible extreme problems with the Euro. In this paper we will see that even though the Euro is a managed (irrevocably fixed) system, trade between Ireland and non-members, most notably the US, involves two separate currencies. This trade will require currency trading, leading to the possibility of large downside exposure to exchange rate risk for Irish exporters. In order to determine the extent to which the currencies can fluctuate, this paper examines exchange rate volatility using an Extreme Value approach. A number of different volatility scenarios are offered based on extrapolation of different exchange rate regimes under two broad headings, floating and managed. Using these headings, a number of actual systems are analysed including the ERM, the Snake in the Tunnel and Bretton Woods.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://mpra.ub.uni-muenchen.de/3535/
File Function: original version
Download Restriction: no

Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 3535.

as in new window
Length:
Date of creation: 2000
Date of revision:
Handle: RePEc:pra:mprapa:3535

Contact details of provider:
Postal: Schackstr. 4, D-80539 Munich, Germany
Phone: +49-(0)89-2180-2219
Fax: +49-(0)89-2180-3900
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC

Related research

Keywords:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  2. Flood, R.P. & Rose, A.K., 1992. "Fixing Exchange Rates: A Virtual Quest for Fundamentals," Papers, Stockholm - International Economic Studies 529, Stockholm - International Economic Studies.
  3. Obstfeld, Maurice, 1992. "Risk-Taking, Global Diversification, and Growth," CEPR Discussion Papers, C.E.P.R. Discussion Papers 688, C.E.P.R. Discussion Papers.
  4. Jeffrey Sachs & Andrew Warner, 1995. "Economic Reform and the Progress of Global Integration," Harvard Institute of Economic Research Working Papers 1733, Harvard - Institute of Economic Research.
  5. Corsetti, G. & Pesenti, P. & Roubini, N., 1998. "What Caused the Asian Currency and Financial Crisis?," Papers, Banca Italia - Servizio di Studi 343, Banca Italia - Servizio di Studi.
  6. Hols, Martien C A B & de Vries, Casper G, 1991. "The Limiting Distribution of Extremal Exchange Rate Returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 6(3), pages 287-302, July-Sept.
  7. Flood, Robert P & Rose, Andrew K, 1998. "Understanding Exchange Rate Volatility Without the Contrivance of Macroeconomics," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1944, C.E.P.R. Discussion Papers.
  8. Honohan, Patrick & Lane, Philip R, 1999. "Pegging to the Dollar and the Euro," International Finance, Wiley Blackwell, Wiley Blackwell, vol. 2(3), pages 379-410, November.
  9. Koedijk, Kees G & Kool, Clemens J M, 1994. "Tail Estimates and the EMS Target Zone," Review of International Economics, Wiley Blackwell, vol. 2(2), pages 153-65, June.
  10. Phillip Kearns & Adrian Pagan, 1997. "Estimating The Density Tail Index For Financial Time Series," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 171-175, May.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Rodney Thom & Brendan Walsh, 2001. "The Effect of a Common Currency on Trade - Ireland before and after the Sterling Link," Working Papers, School Of Economics, University College Dublin 200110, School Of Economics, University College Dublin.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:3535. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.