Advanced Search
MyIDEAS: Login to save this article or follow this journal

Le nouveau SME est-il plus asymétrique que l'ancien ?


Author Info

  • Velayoudom Marimoutou
  • Éric Girardin
  • Christian Bordes


[fre] Le nouveau SME est-il plus asymétrique que l'ancien ? par Christian Bordes, Éric Girardin et Velayoudom Marimoutou . Le présent article s'efforce de renouveler l'examen des relations d'asymétrie entre les taux d'intérêt des pays membres du SME et les taux d'intérêt allemand, de deux manières. D'abord, en retenant une formulation en termes de fonction de réaction des autorités monétaires. Outre les taux américains qui rendent compte des influences externes sur le SME, le modèle Var retenu inclut ainsi les taux d'inflation d'un pays membre du SME et de l'Allemagne. En second lieu, on étend la période d'estimation jusqu'à l'élargissement des marges et l'on procède à des tests de stabilité qui mettent en évidence l'année 1987 comme rupture majeur, que l'on peut associer à l'assouplissement des contrôles sur les mouvements de capitaux. Sur ces deux sous-périodes, le SME apparaît comme un système asymétrique car l'influence des innovations du taux allemand sur les erreurs de prévision des autres taux européens est globalement trois fois plus forte que l'influence en sens contraire. Le nouveau SME apparaît en moyenne au moins aussi asymétrique que l'ancien et sans doute plus dans le cas français. [eng] Is the New EMS More Asymmetric than the Old? by Christian Bordes, Éric Girardin and Velayoudom M arimoutou . The purpose of this paper is to make a new study of the asymmetric relations between the interest rates of the EMS member and the German interest rates. The approach is twofold. First, we select a formulation in terms of the response function of monetary authorities. In addition to the American rates, which explain the external influences on the EMS, the VAR model also includes the rates of inflation for an EMS member country and Germany. Secondly, we extend the estimation period to expansion of the margins and carry out stability tests to show that 1987 was a major break point. This break can be associated the relaxation of capital controls. Over these two sub-periods, the EMS appears as an asymmetric system due to the fact that influence of the German rate innovations on the forecasting errors for the other European rates is three times greater overall the influence in the reverse direction. The new EMS generally looks at least as asymmetric as the old and probably more so in French case.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL:
Download Restriction: no

File URL:
Download Restriction: no

Bibliographic Info

Article provided by Programme National Persée in its journal Économie & prévision.

Volume (Year): 123 (1996)
Issue (Month): 2 ()
Pages: 175-188

as in new window
Handle: RePEc:prs:ecoprv:ecop_0249-4744_1996_num_123_2_5797

Note: DOI:10.3406/ecop.1996.5797
Contact details of provider:
Web page:

Related research



References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Allan D. Brunner, 1994. "The federal funds rate and the implementation of monetary policy: estimating the Federal Reserve's reaction function," International Finance Discussion Papers 466, Board of Governors of the Federal Reserve System (U.S.).
  2. De Grauwe, Paul, 1989. "Is the European Monetary System a DM-Zone?," CEPR Discussion Papers 297, C.E.P.R. Discussion Papers.
  3. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  4. Henry, Jerome & Jens Weidmann, 1994. "Asymmetry in the EMS revisited: Evidence from the causality analysis of daily Eurorates," Discussion Paper Serie B 280, University of Bonn, Germany.
  5. Katsimbris, George M & Miller, Stephen M, 1993. "Interest Rate Linkages within the European Monetary System: Further Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(4), pages 771-79, November.
  6. Karfakis, C. J. & Moschos, D.M., 1990. "Interest Rate Linkages Within the European Monetary System: A Time Series Analysis," Working Papers 144, University of Sydney, School of Economics.
  7. Herz, Bernhard & Roger, Werner, 1992. "The EMS is a greater Deutschmark area," European Economic Review, Elsevier, vol. 36(7), pages 1413-1425, October.
  8. Koedijk, C.G. & Kool, C.J.M., 1992. "Dominant interest and inflation differentials within the EMS," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3108704, Tilburg University.
  9. Christopher A. Sims, 1986. "Are forecasting models usable for policy analysis?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-16.
  10. Bernanke, Ben S., 1986. "Alternative explanations of the money-income correlation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 49-99, January.
  11. Michele Fratianni & Juergen Hagen, 1990. "German dominance in the EMS," Open Economies Review, Springer, vol. 1(1), pages 67-87, February.
Full references (including those not matched with items on IDEAS)


Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. 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, vol. 148(2), pages 49-70.


This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


Access and download statistics


When requesting a correction, please mention this item's handle: RePEc:prs:ecoprv:ecop_0249-4744_1996_num_123_2_5797. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Equipe PERSEE).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.