IMF Working Papers

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

By W. R. M. Perraudin, E. H. Gardner

November 1, 1992

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W. R. M. Perraudin, and E. H. Gardner Asymmetry in the ERM: A Case Study of French and German Interest Rates Since Basle-Nyborg, (USA: International Monetary Fund, 1992) accessed November 21, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

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

Publication Details

  • Pages:

    53

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • 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.

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