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Unit roots and Granger causality in the EMS interest rates: the German Dominance Hypothesis revisited

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  • Hassapis, Christis
  • Pittis, Nikitas
  • Prodromidis, Kyprianos

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  • 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.
  • Handle: RePEc:eee:jimfin:v:18:y:1999:i:1:p:47-73
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    References listed on IDEAS

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    1. Stanley Fischer, 1987. "International Macroeconomic Policy Coordination," NBER Working Papers 2244, National Bureau of Economic Research, Inc.
    2. Francesco Giavazzi & Marco Pagano, 1991. "The Advantage of Tying One's Hands: EMS Discipline and Central Bank Credibility," NBER Chapters,in: International Volatility and Economic Growth: The First Ten Years of The International Seminar on Macroeconomics, pages 303-330 National Bureau of Economic Research, Inc.
    3. Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, vol. 52(3), pages 389-402, June.
    4. Mosconi, Rocco & Giannini, Carlo, 1992. "Non-causality in Cointegrated Systems: Representation Estimation and Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 399-417, August.
    5. Nick Chamie (Bank of Canada), & Alain DeSerres (Bank of Canada), & Rene Lalonde (Bank of Canada), "undated". "Optimum Currency Areas and Shock Asymmetry: A Comparison of Europe and the United States," Staff Working Papers 94-1, Bank of Canada.
    6. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-472, August.
    7. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    8. Nick Chamie & Alain DeSerres & Rene Lalonde, 1994. "Optimum Currency Areas and Shock Asymmetry A Comparison of Europe and the United States," International Finance 9406001, EconWPA, revised 19 Aug 1994.
    9. Karsten Biltoft & Christian Boersch, 1992. "Interest rate causality and asymmetry in the EMS," Open Economies Review, Springer, vol. 3(3), pages 297-306, October.
    10. 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 389-394, August.
    11. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-144, January.
    12. repec:fth:michin:408 is not listed on IDEAS
    13. 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 771-779, November.
    14. Heinz-Dieter Smeets, 1990. "Does Germany Dominate the EMS?," Journal of Common Market Studies, Wiley Blackwell, vol. 29(1), pages 37-52, September.
    15. Artus, P. & Avouyi-Dovi, S. & Bleuze, E. & Lecointe, F., 1991. "Transmission of U.S. monetary policy to Europe and asymmetry in the European monetary system," European Economic Review, Elsevier, vol. 35(7), pages 1369-1384, October.
    16. repec:syd:wpaper:144 is not listed on IDEAS
    17. Dominguez, K.M.E., 1997. "Monetary Interdependence and Coordination," Working Papers 408, Research Seminar in International Economics, University of Michigan.
    18. 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 773-778, November.
    19. Perron, Pierre, 1990. "Testing for a Unit Root in a Time Series with a Changing Mean," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 153-162, April.
    20. De Grauwe, Paul, 1989. "Is the European Monetary System a DM-Zone?," CEPR Discussion Papers 297, C.E.P.R. Discussion Papers.
    21. 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.
    22. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    23. Guglielmo Caporale & Nikitas Pittis, 1993. "Common stochastic trends and inflation convergence in the EMS," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 129(2), pages 207-215, June.
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