Euro Crash Risk

摘要: Abstract We identify crucial events during the European sovereign debt crisis and investigate their impact on euro currency. In particular, we analyze how specific announcements related to vulnerable eurozone member states, Central Bank (ECB) actions, credit rating downgrades affect value crash risk of euro. proxy appreciation depreciation by its abnormal foreign exchange (FX) rate returns with respect 35 currencies. The is proxied conditional skewness FX return distribution same find that market reacts positively news countries under EU/IMF rescue umbrella. discover ECB actions average result in a day announcement reflecting obvious concerns participants, but effect partly reversed after. Our analysis also shows corporate tend lead and, more importantly, an increase risk. Interestingly, about Greece do not substantially directly; however, it does have overall significant risk, imposing substantial for stability common currency eurozone.