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Asymmetry in the ERM: A Case Study of French and German Interest Rates Since Basle-Nyborg
Author: Mr. W. R. M. Perraudin and Mr. E. H. Gardner
Series:
IMF Working Papers
Volume/Issue:
Volume 1992: Issue 096
Language:
English
Publication Date:
01 Nov 1992
DOI:
https://doi.org/10.5089/9781451949988.001
ISBN:
9781451949988
ISSN:
1018-5941
Pages:
53
Keywords:
WP; deutsche mark; monetary policy; innovation multiplier; interest rate differential; high frequency interest rate data; short interest rate change; Euromarket interest rates; effect unit interest rate; interest rate innovation; anti-inflationary resolve; on-shore rate; vis-a-vis Germany; Exchange rates; Foreign exchange intervention; Long term interest rates; Short term interest rates; Currencies
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund