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German dominance in the European Monetary System: a reprise using robust Wald tests

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Author Info
G. Geoffrey Booth
Cetin Ciner
Abstract

This study re-examines the German dominance hypothesis in the EMS. A VAR in levels approach is adopted and modified Wald tests, which are robust to cointegration properties of the variables, are used. The findings indicate that, although Germany played a measurable role, the extent of monetary cooperation in the system was greater than previously detected.

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Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 12 (2005)
Issue (Month): 8 (June)
Pages: 463-466
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Handle: RePEc:taf:apeclt:v:12:y:2005:i:8:p:463-466

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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.:

  1. Kirchgassner, Gebhard & Wolters, Jurgen, 1993. "Does the DM Dominate the Euro Market? An Empirical Investigation," The Review of Economics and Statistics, MIT Press, vol. 75(4), pages 773-78, November. [Downloadable!] (restricted)
  2. Juan J. DOLADO & Helmut LUETKEPOHL, . "Making Wald Tests Work for Cointegrated Var Systems," Sonderforschungsbereich 373 1994-44, Humboldt Universitaet Berlin.
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  3. Hassapis, Christis & Pittis, Nikitas & Prodromidis, Kyprianos, 1999. "Unit roots and Granger causality in the EMS interest rates: the German Dominance Hypothesis revisited," Journal of International Money and Finance, Elsevier, vol. 18(1), pages 47-73, January. [Downloadable!] (restricted)
  4. Zapata, Hector O & Rambaldi, Alicia N, 1997. "Monte Carlo Evidence on Cointegration and Causation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(2), pages 285-98, May.
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  5. Uctum, Merih, 1999. "European integration and asymmetry in the EMS," Journal of International Money and Finance, Elsevier, vol. 18(5), pages 769-798, October. [Downloadable!] (restricted)
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  6. Michele Fratianni & Juergen Hagen, 1990. "German dominance in the EMS," Open Economies Review, Springer, vol. 1(1), pages 67-87, February. [Downloadable!] (restricted)
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(explanations, 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.)

  1. Lau, Evan & Lee, Koon Po, 2007. "Interdependence of Income between China and ASEAN-5 Countries," MPRA Paper 2231, University Library of Munich, Germany. [Downloadable!]
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