DP753 Asymmetry in the ERM: A Case Study of French and German Interest Rates Since Basel-Nyborg

Author(s): Edward H Gardner , William Perraudin

Publication Date: January 1993

Keyword(s): EMS , ERM , European Interest Rates

JEL(s): E40 , E50 , F36

Programme Areas: Applied Macroeconomics

Link to this Page: www.cepr.org/pubs/dps/DP753.asp

Purchase Options: An electronic copy of this Discussion Paper is available to purchase on request for £3. To order a copy, pease email orders@cepr.org.

We study empirically daily French and German interest rate changes since the Basel-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.