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International Interest-Rate Transmission and the “German Dominance Hypothesis†Within EMS

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  • Nikiforos Laopodis

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Abstract

This article investigates whether the German Dominance Hypothesis is valid within the context of nominal short-term interest rates. The approach taken to address this hypothesis is based on the notion that German interest rates should convey valuable information to other countries' rates or that there exist significant multidirectional volatility spillovers from the Bundesbank to other nations' central banks. These transfers can be analyzed within a multivariate framework of an Exponential GARCH model capable of capturing the potential asymmetries of the volatility spillover mechanism. The results, basically, do not support the idea of a German predominance within the system, in a strict sense, since Germany's rates are also affected, for the most part, by actions from its partners. Copyright Kluwer Academic Publishers 2001

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Bibliographic Info

Article provided by Springer in its journal Open Economies Review.

Volume (Year): 12 (2001)
Issue (Month): 4 (October)
Pages: 347-377

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Handle: RePEc:kap:openec:v:12:y:2001:i:4:p:347-377

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Web page: http://www.springerlink.com/link.asp?id=100323

Related research

Keywords: German dominance; EGARCH; (interest rates) transmission mechanism; EMS;

References

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Citations

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Cited by:
  1. Cohen, Benjamin J., 2014. "Will History Repeat Itself? Lessons for the Yuan," ADBI Working Papers 453, Asian Development Bank Institute.
  2. Laopodis, Nikiforos T., 2004. "European and international asymmetry in the volatility transmission mechanism: the "German Dominance Hypothesis" revisited," Journal of Economics and Business, Elsevier, vol. 56(2), pages 75-97.
  3. Laopodis, Nikiforos T., 2004. "Monetary policy implications of comovements among long-term interest rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 135-164, April.

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