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German Unification and the EMS: A Non-Parametric Approach to the Asymmetry Question

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Author Info
Axel Cron, Jens Weidmann
Abstract

This paper attempts to analyze the impact of German unification on the position that Germany holds within the European Monetary System (EMS), i.\ e.\ on the asymmetry in the EMS. Applying kernel estimation and bootstrap methods we can corroborate the result of previous studies that Germany's position within the EMS was not weakened by German unification when speculative periods before and after German unification are compared. Moreover, our data exhibit significant non-linearities pointing to threshold cointegration or regime switching processes.

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File URL: ftp://web.bgse.uni-bonn.de/pub/RePEc/bon/bonsfb/bonsfb353.ps
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Publisher Info
Paper provided by University of Bonn, Germany in its series Discussion Paper Serie B with number 353.

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Date of creation: Jan 1996
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Handle: RePEc:bon:bonsfb:353

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Postal: Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany
Fax: +49 228 73 9221
Web page: http://www.bgse.uni-bonn.de/index.php?id=517

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Related research
Keywords: European Monetary System (EMS) German unification asymmetry interest rates speculative crises kernel estimation bootstrap.

Find related papers by JEL classification:
F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods

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  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. De Grauwe, Paul, 1989. "Is the European Monetary System a DM-Zone?," CEPR Discussion Papers 297, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  3. Cohen, Daniel & Wyplosz, Charles, 1989. "The European Monetary Union: An Agnostic Evaluation," CEPR Discussion Papers 306, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  4. Bertola, Giuseppe & Svensson, Lars E O, 1991. "Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models," CEPR Discussion Papers 513, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  5. Karfakis, Costas J & Moschos, Demetrios M, 1990. "Interest Rate Linkages within the European Monetary System: A Time Series Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 22(3), pages 389-94, August.
    Other versions:
  6. Hagen, Jurgen von & Fratianni, Michele, 1990. "German dominance in the EMS: evidence from interest rates," Journal of International Money and Finance, Elsevier, vol. 9(4), pages 358-375, December. [Downloadable!] (restricted)
  7. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July. [Downloadable!] (restricted)
  8. Henry, Jerome, and 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.
  9. Michele Fratianni & Juergen Hagen, 1990. "German dominance in the EMS," Open Economies Review, Springer, vol. 1(1), pages 67-87, February. [Downloadable!] (restricted)
  10. Michele Fratianni & Juergen Hagen, 1992. "German dominance in the EMS:The empirical evidence," Open Economies Review, Springer, vol. 3(1), pages 127-128, February. [Downloadable!] (restricted)
  11. Krugman, Paul R, 1991. "Target Zones and Exchange Rate Dynamics," The Quarterly Journal of Economics, MIT Press, vol. 106(3), pages 669-82, August. [Downloadable!] (restricted)
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