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- W1489385710 abstract "In this paper we propose an empirical model that considers theoretical facts on the relationship between real exchange rates and the net exports of the economy to supplement the interaction of a number of financial and economic factors with the stock market. We discuss the impact of exchange rate fluctuations on market risk in terms of Value at Risk (VaR). Our empirical findings show that common currency introduction produced increments in VaR whereas European stock returns are more sensitive to changes in competitiveness regarding the EMU rather than national exports. Finally, we show that the synchronisation of variation in competitiveness through the introduction of a single currency has made these changes more decisive in explaining financial market fluctuations." @default.
- W1489385710 created "2016-06-24" @default.
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- W1489385710 date "2008-01-01" @default.
- W1489385710 modified "2023-09-26" @default.
- W1489385710 title "Market Risk Dynamics and Competitiveness after the Euro: Evidence from EMU Members" @default.
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- W1489385710 doi "https://doi.org/10.2139/ssrn.1147774" @default.
- W1489385710 hasPublicationYear "2008" @default.
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