German dominance in the European Monetary System: a reprise using robust Wald tests
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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Volume (Year): 12 (2005)
Issue (Month): 8 ()
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- Michele Fratianni & Juergen Hagen, 1990. "German dominance in the EMS," Open Economies Review, Springer, vol. 1(1), pages 67-87, February.
- 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.
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- Zapata, Hector O. & Rambaldi, Alicia N., 1996. "Monte Carlo Evidence On Cointegration And Causation," Staff Papers 31690, Louisiana State University, Department of Agricultural Economics and Agribusiness.
- 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.
- Dolado, J.J. & Lutkepohl, H., 1994. "Making Wald Tests Work for Cointegrated Var Systems," Papers 9424, Centro de Estudios Monetarios Y Financieros-.
- Merih Uctum, 1996.
"European integration and asymmetry in the EMS,"
9605, Federal Reserve Bank of New York.
- 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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