| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9229 |
| DP9229 Euro at Risk: The Impact of Member Countries?Credit Risk on the Stability of the Common Currency | |
| Christian Wolff; Thorsten Lehnert | |
| 发表日期 | 2012-11-25 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | In this paper, we empirically investigate the impact of the credit risk of Eurozone member countries on the stability of the Euro. In the absence of a common euro bond, euro-area credit risk is induced though the credit default swaps of the member countries. The stability of the euro is examined by decomposing dollar-euro exchange rate options into the moments of the risk-neutral distribution. We document that during the sovereign debt crisis changes in the creditworthiness of member countries have significant impact on the stability of the euro. In particular, an increase in member countries? credit risk results in an increase of volatility of the dollar-euro exchange rate along with soaring tail risk induced through the risk-neutral kurtosis. We find that member countries? credit risk is a major determinant of the euro crash risk as measured by the risk-neutral skewness. We propose a new indicator for currency stability by combining the risk-neutral moments into an aggregated risk measure and show that our results are robust to this change in measure. Noticeable is the fact that during the sovereign debt crisis, the creditworthiness of countries with vulnerable fiscal positions is the main risk-endangering factor of the euro-stability. |
| 主题 | Financial Economics |
| 关键词 | Credit default swaps Currency options Currency stability European sovereign debt crisis Risk-neutral distribution |
| URL | https://cepr.org/publications/dp9229 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538063 |
| 推荐引用方式 GB/T 7714 | Christian Wolff,Thorsten Lehnert. DP9229 Euro at Risk: The Impact of Member Countries?Credit Risk on the Stability of the Common Currency. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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