Interaction entre taux d'intérêt allemands et français: un réexamen de l'hypothèse de dominance allemande

Marie Podevin
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Marie Podevin: MAD - Université Paris 1

Cahiers de la Maison des Sciences Economiques from Université Panthéon-Sorbonne (Paris 1)

Abstract: This paper investigates short-term French and German interest rate linkages through a causal inference strategy connected to the notion of variables controllability proposed by Hoover [1991]. This approach uses the relative invariance of the conditional and marginal probability distributions of the variables of interest (here French and German rates). Our results support unidirectional causality from German rates to French rates before 1988 and bi-directional after this date. We conclude therefore that the new EMS is less asymmetric than the old one

Keywords: causality; invariance; instability (search for similar items in EconPapers)
JEL-codes: C32 C52 E43 E58 (search for similar items in EconPapers)
Pages: 37 pages
Date: 1998-06
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Persistent link: https://EconPapers.repec.org/RePEc:mse:wpsorb:98027

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