We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and … effects last for up to 1 month, and are proportionally higher for joint QE actions. This cross-border source of tail risk is …

on extreme upper tail quantiles, leaning against the risk of extremely adverse market outcomes while active. …

model, we find the ECB program had a beneficial impact on extreme upper tail quantiles, leaning against the risk of …

Financial shocks represent a major driver of fluctuations in tail risk, defined as the 5th percentile of the forecast … role in shaping risk, although its effects are smaller than those of financial shocks. These findings are obtained using a …