Large sigma events in the European FX markets – Stylised facts from 273 years of quarterly data

Working Paper 84, 2013

Authors Abildgren, Kim
Subject Financial markets and financial stability; Monetary conditions; Financial stability; The money and currency markets; Foreign-exchange market
Type Working paper
Year 2013
Published 23 May 2013
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...