Extreme Risks in Financial Markets and Monetary Policies of the Euro-Candidates
Halle Institute for Economic Research
Lucjan T. Orlowski
Sacred Heart University - John F. Welch College of Business; Halle Institute for Economic Research; Centre for Social and Economic Research (CASE)
Comparative Economic Studies, Vol. 53, Issue 4, pp. 511-534, 2011
This study investigates extreme tail risks in financial markets of the euro-candidate countries and their implications for monetary policies. Our empirical tests show the prevalence of extreme risks in the conditional volatility series of selected financial variables, that is, interbank rates, equity market indexes and exchange rates. We argue that excessive instability of key target and instrument variables should be mitigated by monetary policies. Central banks in these countries will be well-advised to use both standard and unorthodox (discretionary) tools of monetary policy while steering their economies out of the financial crisis and through the euro-convergence process.
Number of Pages in PDF File: 24Accepted Paper Series
Date posted: December 1, 2011
© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo7 in 0.282 seconds