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Asymmetry in the ERM; A Case Study of French and German Interest Rates Since Basle-Nyborg

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  • 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.

Suggested Citation

  • W. R. M. Perraudin & E. H. Gardner, 1992. "Asymmetry in the ERM; A Case Study of French and German Interest Rates Since Basle-Nyborg," IMF Working Papers 92/96, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:92/96
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    Cited by:

    1. Mali J. Edison & Linda S. Kole, 1995. "European monetary arrangements: Implications for the dollar, exchange rate variability and credibility," European Financial Management, European Financial Management Association, vol. 1(1), pages 61-86.
    2. Marie Podevin, 2001. "Interaction entre taux d'intérêt allemands et français : un réexamen de l'hypothèse de dominance allemande," Économie et Prévision, Programme National Persée, vol. 148(2), pages 49-70.

    More about this item

    Keywords

    European Monetary System; France; Germany; Interest rates; standard errors; monetary policy; covariance; monetary system;

    JEL classification:

    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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