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Asymmetry in the ERM: A Case Study of French and German Interest Rates Before and After German Unification

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  • Edward H. Gardner

    (International Monetary Fund)

  • William R. M. Perraudin

    (International Monetary Fund)

Abstract

Daily French and German interest rate changes since the Basle-Nyborg agreement of September 1987 are examined empirically. In particular, it is asked whether the shock associated with German unification altered the degree of leadership of German monetary policy in the exchange rate mechanism (ERM). The paper finds that Germany's leadership role within the ERM largely disappeared in the year following unification but that the Bundesbank began reasserting its predominance thereafter.

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Bibliographic Info

Article provided by Palgrave Macmillan in its journal Staff Papers - International Monetary Fund.

Volume (Year): 40 (1993)
Issue (Month): 2 (June)
Pages: 427-450

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Handle: RePEc:pal:imfstp:v:40:y:1993:i:2:p:427-450

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Cited by:
  1. M. Demertzis & A.J. Huges Hallett, 2001. "Wage Inflation and the Distribution of Output Gaps in Europe: Insidersvs. Outsiders," DNB Staff Reports (discontinued), Netherlands Central Bank 59, Netherlands Central Bank.
  2. Maria Demertzis & Andrew Hughes Hallett & Nicolien Schermer, 2008. "Europeanization or Globalization? Transnational Wage Bargaining and the Distribution of Activity in European Labor Markets," DNB Working Papers, Netherlands Central Bank, Research Department 186, Netherlands Central Bank, Research Department.
  3. Laopodis, Nikiforos T., 2004. "European and international asymmetry in the volatility transmission mechanism: the "German Dominance Hypothesis" revisited," Journal of Economics and Business, Elsevier, Elsevier, vol. 56(2), pages 75-97.
  4. Laopodis, N. T., 1998. "Asymmetric volatility spillovers in deutsche mark exchange rates," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 8(4), pages 413-430, November.
  5. Jerome Henry & Jens Weidmann, 2005. "The French-German Interest Rate Differential Since German," International Finance, EconWPA 0503009, EconWPA.
  6. Oscar Bajo-Rubio & Simón Sosvilla-Rivero & Fernado Fernández-Rodríguez, . "Asymmetry in the EMS: New evidence based on non-linear forecasts," Working Papers 97-24, FEDEA.
  7. Oscar Bajo & Maria Dolores Montavez, 1999. "There Was Monetary Autonomy In Europe On the Eve Of Emu? The German Dominance Hypothesis Re-Examined," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra, Departamento de Economía - Universidad Pública de Navarra 9906, Departamento de Economía - Universidad Pública de Navarra.
  8. Marie Podevin, 2001. "Interaction entre taux d'intérêt allemands et français : un réexamen de l'hypothèse de dominance allemande," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 148(2), pages 49-70.
  9. Axel Cron, Jens Weidmann, 1996. "German Unification and the EMS: A Non-Parametric Approach to the Asymmetry Question," Discussion Paper Serie B, University of Bonn, Germany 353, University of Bonn, Germany.
  10. Robert Brooks & Robert Faff & David Sokulsky, 2005. "The stock market impact of German reunification: international evidence," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(1), pages 31-42.
  11. Forssbaeck, Jens & Oxelheim, Lars, 2005. "On the Link between Exchange-Rate Regimes and Monetary-Policy Autonomy: The European Experience," Working Paper Series, Research Institute of Industrial Economics 637, Research Institute of Industrial Economics.

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