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Asymmetry in the ERM

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Author Info

  • W. R. M. Perraudin
  • E. H. Gardner

Abstract

We study empirically daily French and German interest rate changes since the Basle-Nyborg agreement of September 1987. In particular, we ask whether the shock associated with German unification altered the degree of leadership of German monetary policy in the ERM. We conclude that Germany’s leadership role within the ERM largely disappeared in the year following unification but that the Bundesbank has recently begun to reassert its predominance.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 92/96.

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Length: 53
Date of creation: 01 Nov 1992
Date of revision:
Handle: RePEc:imf:imfwpa:92/96

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Related research

Keywords: Interest rates; European Monetary System; standard errors; monetary policy; covariance; monetary system; inflation; autocorrelation; descriptive statistics; monetary aggregates; lagrange multiplier tests; monetary fund; granger causality; central bank; long-term interest rates; kurtosis; monetary independence; simultaneous equations; linear models; linear model; reserve requirements; statistical models; monetary base; estimation method; random variable; significance level; standard deviations; european monetary union; explanatory power; principal components analysis; monetary stance; money supply; monetary union; instrumental variables; normal distributions; vector autoregression; monetary coordination; dummy variables; random variables; significance levels; monetary authorities; covariances; statistical analysis; standard deviation; statistical significance;

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Cited by:
  1. Hali J. Edison & Linda S. Kole, 1994. "European monetary arrangements: implications for the dollar, exchange rate variability and credibility," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 468, Board of Governors of the Federal Reserve System (U.S.).

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