Advanced Search
MyIDEAS: Login to save this paper or follow this series

The French-German Interest Rate Differential since German Unification: The Impact of the 1992 and 1993 EMS Crisis


Author Info

  • Henry, Jerome
  • Jens Weidmann


The EMS crisis of 1992-1993, which resulted in the widening of the exchange rate bands, may have had some impact on the long-run structure of the system consisting of daily 1-month-Eurorates on German Mark, US-Dollar and French Franc. First, we find that both the US Eurorate and the German-French Eurorate differential are stationary over the December 1990 to December 1993 period, within a Gaussian VAR. Second, using GARCH-models to account for heteroskedasticity it is demonstrated that Gaussian models can induce a misleading interpretation of the linkages, namely about the effects of the American rate on the French one. In spite of the crisis and the changes in the ERM, the volatility parameters for the German-French interest rate differential are quite stable over the sample. This can be related to the observation that the July 1993 crisis is not linked to a specifically high volatility.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Paper provided by University of Bonn, Germany in its series Discussion Paper Serie B with number 295.

as in new window
Length: pages
Date of creation: Dec 1994
Date of revision:
Handle: RePEc:bon:bonsfb:295

Contact details of provider:
Postal: Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany
Fax: +49 228 73 6884
Web page:

Related research

Keywords: Interest rates; Cointegration; Heteroskedasticity; GARCH; EMS; Asymmetry in the ERM;

Find related papers by JEL classification:


No references listed on IDEAS
You can help add them by filling out this form.


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

Cited by:
  1. Mete Feridun, 2006. "An Investigation of the German Dominance Hypothesis in the Context of Eastern Enlargement of the EU," Prague Economic Papers, University of Economics, Prague, vol. 2006(2), pages 172-182.


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:bon:bonsfb:295. 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: (BGSE Office).

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.