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

Author/Editor:

W. R. M. Perraudin ; E. H. Gardner

Publication Date:

November 1, 1992

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.

Series:

Working Paper No. 1992/096

Subject:

Currencies Exchange rates Financial services Foreign exchange Foreign exchange intervention Long term interest rates Monetary aggregates Money Short term interest rates

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.

English

Publication Date:

November 1, 1992

ISBN/ISSN:

9781451949988/1018-5941

Stock No:

WPIEA0961992

Pages:

53

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