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

W. Perraudin and E. Gardner

No 1992/096, IMF Working Papers from International Monetary Fund

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.

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 (search for similar items in EconPapers)
Pages: 53
Date: 1992-11-01
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:1992/096

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