Asymmetries in the European Monetary System: Evidence from Interest Ra tes

Costas Karfakis and D.M. Moschos

No 145, Working Papers from University of Sydney, School of Economics

Abstract: This paper tests for asymmetries in the European Monetary System (EMS). The analysis indicates that any asymmetric movements between German and other EMS interest rates originating from changes in the US rate are temporary and tend to be eliminated during subsequent periods through offsetting interest rate adjustments. Furthermore, the trivariate error correction vector autoregression analysis of interest rate relationships among the US, Germany and each of the other EMS countries suggests that German leadership is not an EMS-wide phenomenon, since it is confirmed only with respect to Belgium and France.

Date: 1990-09
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Persistent link: https://EconPapers.repec.org/RePEc:syd:wpaper:2123/7593

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