Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/82350 
Autor:innen: 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
Danmarks Nationalbank Working Papers No. 84
Verlag: 
Danmarks Nationalbank, Copenhagen
Zusammenfassung: 
We offer a closer look at the frequency distribution of nominal price changes in the foreign exchange markets for a sample of 10 European exchange-rate pairs on the basis of a unique quarterly data set spanning 273 years. Our analysis clearly illustrates the risk of seriously underestimating the probability and magnitude of tail events when frequency distributions of nominal exchange-rate changes are derived on the basis of fairly short data samples. We suggest that financial institutions and regulators should have an eye for the long-term historical perspective as a source of inspiration when designing worst case scenarios or severe stress scenarios in relation to risk assessments and stress tests.
Schlagwörter: 
economic history
realised exchange-rate volatility
risk management
fat tailed distributions
kernel density estimation
JEL: 
C14
C58
F31
G32
N23
N24
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
143.5 kB
392.92 kB





Publikationen in EconStor sind urheberrechtlich geschützt.