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

  • G. Geoffrey Booth
  • Cetin Ciner
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    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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    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850500120359&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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    Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

    Volume (Year): 12 (2005)
    Issue (Month): 8 ()
    Pages: 463-466

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    Handle: RePEc:taf:apeclt:v:12:y:2005:i:8:p:463-466
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    1. Michele Fratianni & Juergen Hagen, 1990. "German dominance in the EMS," Open Economies Review, Springer, vol. 1(1), pages 67-87, February.
    2. 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.
    3. 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.
    4. Juan J. DOLADO & Helmut LÜTKEPOHL, 1994. "Making Wald Tests Work for Cointegrated Var Systems," SFB 373 Discussion Papers 1994,44, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    5. Merih Uctum, 1996. "European integration and asymmetry in the EMS," Research Paper 9605, Federal Reserve Bank of New York.
    6. 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.
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