Purchase - $30.00

Extreme Risks in Financial Markets and Monetary Policies of the Euro-Candidates

24 Pages Posted: 1 Dec 2011  

Hubert Gabrisch

Wiesbaden Institute for Law and Economics

Lucjan T. Orlowski

Sacred Heart University - John F. Welch College of Business

Date Written: December 2011

Abstract

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.

Suggested Citation

Gabrisch, Hubert and Orlowski, Lucjan T., Extreme Risks in Financial Markets and Monetary Policies of the Euro-Candidates (December 2011). Comparative Economic Studies, Vol. 53, Issue 4, pp. 511-534, 2011. Available at SSRN: https://ssrn.com/abstract=1966926 or http://dx.doi.org/10.1057/ces.2011.9

Hubert Gabrisch (Contact Author)

Wiesbaden Institute for Law and Economics ( email )

Friedrich-Kruse-Str. 10
D-06120 Halle, 06120
Germany

Lucjan T. Orlowski

Sacred Heart University - John F. Welch College of Business ( email )

5151 Park Avenue
Fairfield, CT 06825
United States
203-371-7858 (Phone)

HOME PAGE: http://www.sacredheart.edu/ltorlowski.cfm

Paper statistics

Downloads
2
Abstract Views
192