Asymmetry in the ERM: A Case Study of French and German Interest Rates Since Basle-Nyborg
November 1, 1992
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Summary
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.
Subject: Currencies, Exchange rates, Financial services, Foreign exchange, Foreign exchange intervention, Long term interest rates, Monetary aggregates, Money, Short term interest rates
Keywords: anti-inflationary resolve, Currencies, deutsche mark, effect unit interest rate, Euromarket interest rates, Exchange rates, Foreign exchange intervention, high frequency interest rate data, innovation multiplier, interest rate differential, interest rate innovation, Long term interest rates, monetary policy, on-shore rate, short interest rate change, Short term interest rates, vis-a-vis Germany, WP
Pages:
53
Volume:
1992
DOI:
---
Issue:
096
Series:
Working Paper No. 1992/096
Stock No:
WPIEA0961992
ISBN:
9781451949988
ISSN:
1018-5941
Notes
Empirical study on daily French and German interest rate changes since the Basle-Nyborg agreement of September 1987. Also published in Staff Papers, Vol. 40, No. 2, June 1993.
