Interest rate convergence, capital controls, risk premia and foreign exchange market efficiency in the EMS
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Stanley Fischer, 1987. "International Macroeconomic Policy Coordination," NBER Working Papers 2244, National Bureau of Economic Research, Inc.
- Alberto Giovannini, 1990. "European Monetary Reform: Progress and Prospects," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 21(2), pages 217-292.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- repec:bla:econom:v:54:y:1987:i:216:p:429-38 is not listed on IDEAS
- Daniel Gros & Niels Thygesen, 1988. "Le SME : performances et perspectives," Revue de l'OFCE, Programme National Persée, vol. 24(1), pages 55-80.
- Artis, Michael J & Taylor, Mark P, 1988. "Exchange Rates and the EMS: Assessing the Track Record," CEPR Discussion Papers 250, C.E.P.R. Discussion Papers.
- Fratianni, Michele & von Hagen, Juergen, 1990. "The European Monetary System ten years after," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 32(1), pages 173-241, January.
- Karfakis, Costas J & Moschos, Demetrios M, 1990.
"Interest Rate Linkages within the European Monetary System: A Time Series Analysis,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 22(3), pages 389-394, August.
- Karfakis, C. J. & Moschos, D.M., 1990. "Interest Rate Linkages Within the European Monetary System: A Time Series Analysis," Working Papers 144, University of Sydney, School of Economics.
- Fisher, Eric O'N & Park, Joon Y, 1991. "Testing Purchasing Power Parity under the Null Hypothesis of Co-integration," Economic Journal, Royal Economic Society, vol. 101(409), pages 1476-1484, November.
- Rose, Andrew K. & Svensson, Lars E. O., 1994.
"European exchange rate credibility before the fall,"
European Economic Review, Elsevier, vol. 38(6), pages 1185-1216, June.
- Andrew K. Rose & Lars E.O. Svensson, 1993. "European Exchange Rate Credibility Before the Fall," NBER Working Papers 4495, National Bureau of Economic Research, Inc.
- Rose, A.K. & Svensson, L.E.O., 1993. "European Exchange Rate Credibility Before the Fall," Papers 542, Stockholm - International Economic Studies.
- Rose, Andrew K & Svensson, Lars E O, 1993. "European Exchange Rate Credibility Before the Fall," CEPR Discussion Papers 852, C.E.P.R. Discussion Papers.
- Katsimbris, George M & Miller, Stephen M, 1993. "Interest Rate Linkages within the European Monetary System: Further Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(4), pages 771-779, November.
- Rogoff, Kenneth, 1985.
"Can exchange rate predictability be achieved without monetary convergence? : Evidence from the EMS,"
European Economic Review, Elsevier, vol. 28(1-2), pages 93-115.
- Kenneth S. Rogoff, 1984. "Can exchange rate predictability be achieved without monetary convergence? : evidence from the EMS," International Finance Discussion Papers 245, Board of Governors of the Federal Reserve System (U.S.).
- Guglielmo Maria Caporale & Nikitas Pittis, 1995. "Interest rate linkages within the European Monetary System: an alternative interpretation," Applied Economics Letters, Taylor & Francis Journals, vol. 2(2), pages 45-47.
- Hagen, Jurgen von & Fratianni, Michele, 1990. "German dominance in the EMS: evidence from interest rates," Journal of International Money and Finance, Elsevier, vol. 9(4), pages 358-375, December.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Guglielmo Caporale & Nikitas Pittis, 1993. "Common stochastic trends and inflation convergence in the EMS," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 129(2), pages 207-215, June.
- Barry Eichengreen & Charles Wyplosz, 1993. "The Unstable EMS," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 24(1), pages 51-144.
- Hall, S G, 1991. "The Effect of Varying Length VAR Models on the Maximum Likelihood Estimates of Cointegrating Vectors," Scottish Journal of Political Economy, Scottish Economic Society, vol. 38(4), pages 317-323, November.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-472, August.
- Michele Fratianni & Juergen Hagen, 1990. "German dominance in the EMS," Open Economies Review, Springer, vol. 1(1), pages 67-87, February.
- Giovannini, Alberto, 1988. "How Do Fixed-Exchange-Rates Regimes Work? The Evidence from the Gold Standard, Bretton Woods and the EMS," CEPR Discussion Papers 282, C.E.P.R. Discussion Papers.
- Artis, M. J., 1987. "The European monetary system: An evaluation," Journal of Policy Modeling, Elsevier, vol. 9(1), pages 175-198.
- Heinz‐Dieter Smeets, 1990. "Does Germany Dominate the EMS?," Journal of Common Market Studies, Wiley Blackwell, vol. 29(1), pages 37-52, September.
- Alberto Giovannini, 1988. "How Do Fixed-Exchange-Rates Regimes Work: The Evidence From The Gold Standard, Bretton Woods and The EMS," NBER Working Papers 2766, National Bureau of Economic Research, Inc.
- repec:syd:wpaper:144 is not listed on IDEAS
- Francesco Giavazzi & Alberto Giovannini, 1987. "Models of the EMS: is Europe a Greater Deutschmark Area?," International Economic Association Series, in: Ralph C. Bryant & Richard Portes (ed.), Global Macroeconomics: Policy Conflict and Cooperation, chapter 7, pages 237-272, Palgrave Macmillan.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Marco Barassi & Guglielmo Caporale & Stephen Hall, 2005. "A Sequential Test for Structural Breaks in the Causal Linkages Between the G7 Short-Term Interest Rates," Open Economies Review, Springer, vol. 16(2), pages 107-133, April.
- Philip Arestis & Kostas Mouratidis, 2004.
"Is There a Trade‐Off Between Inflation Variability and Output‐Gap Variability in the EMU Countries?,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 51(5), pages 691-706, November.
- Philip Arestis & Kostas Mouratidis, 2002. "Is There A Trade-Off Between Inflation Variability and Output-Gap Variability in The EMU Countries?," Economics Working Paper Archive wp_359, Levy Economics Institute.
- Philip Arestis, 2004. "Is there a trade-off between inflation variability and output-gap variability in the EMU countries?," National Institute of Economic and Social Research (NIESR) Discussion Papers 238, National Institute of Economic and Social Research.
- Philip Arestis & Kostas Mouratidis, 2003. "Is There A Trade-Off Between Inflation Variability And Output-Gap Variability in The EMU Countries?," Macroeconomics 0301005, University Library of Munich, Germany.
- Philip Arestis & Kostas Mouratidis, 2005.
"Credibility of monetary policy in four accession countries: a Markov regime-switching approach,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(1), pages 81-89.
- Philip Arestis & Kostas Mouratidis, 2003. "Credibility of Monetary Policy in Four Accession Countries: A Markov Regime-Switching Approach," Economics Working Paper Archive wp_371, Levy Economics Institute.
- Barassi, Marco R. & Caporale, Guglielmo Maria & Hall, Stephen G., 2005. "Interest rate linkages: a Kalman filter approach to detecting structural change," Economic Modelling, Elsevier, vol. 22(2), pages 253-284, March.
- Frömmel, Michael & Kruse, Robinson, 2015.
"Interest rate convergence in the EMS prior to European Monetary Union,"
Journal of Policy Modeling, Elsevier, vol. 37(6), pages 990-1004.
- Michael Frömmel & Robinson Kruse, 2009. "Interest rate convergence in the EMS prior to European Monetary Union," CREATES Research Papers 2009-23, Department of Economics and Business Economics, Aarhus University.
- M. Frömmel & R. Kruse, 2009. "Interest rate convergence in the EMS prior to European Monetary Union," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/610, Ghent University, Faculty of Economics and Business Administration.
- William Bryant & Roselyne Joyeux, 2010. "Interest linkages between the US, UK and German interest rates: should the UK join the European Monetary Union?," International Review of Applied Economics, Taylor & Francis Journals, vol. 24(6), pages 633-647.
- Guglielmo Caporale & Nikitas Pittis, 1995. "Inflation convergence in the EMS: Some additional evidence. A reply," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 131(3), pages 587-593, September.
- Kleimeier, Stefanie & Sander, Harald, 2000. "Regionalisation versus globalisation in European financial market integration: Evidence from co-integration analyses," Journal of Banking & Finance, Elsevier, vol. 24(6), pages 1005-1043, June.
- Baum, Christopher F. & Barkoulas, John, 2006.
"Dynamics of Intra-EMS Interest Rate Linkages,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(2), pages 469-482, March.
- Christopher F. Baum & John Barkoulas, 2001. "Dynamics of Intra-EMS Interest Rate Linkages," Boston College Working Papers in Economics 492, Boston College Department of Economics, revised 04 May 2004.
- Christopher F Baum & John Barkoulas, 2002. "Dynamics of Intra-EMS Interest Rate Linkages," Computing in Economics and Finance 2002 13, Society for Computational Economics.
- Mardi Dungey & Vance L Martin & Adrian R Pagan, 2000. "A multivariate latent factor decomposition of international bond yield spreads," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 697-715.
- Marco Barassi & Guglielmo Maria Caporale & Stephen Hall, 2005. "Interest rate linkages: identifying structural relations," Applied Financial Economics, Taylor & Francis Journals, vol. 15(14), pages 977-986.
- Nuruddeen Usman & Martins Apinran, 2024. "Policy rates in ECOWAS: are they fractionally cointegrated?," SN Business & Economics, Springer, vol. 4(11), pages 1-15, November.
- Amigo Dobaño, Lucy, 2000. "Cointegration Analysis: Exchange Rate Markets Of The European Monetary System," ERSA conference papers ersa00p270, European Regional Science Association.
- Heejoon Kang, 1999. "The Applied Cointegration Analysis for the Open Economy: A Critical Review," Open Economies Review, Springer, vol. 10(3), pages 325-346, July.
- Paulo M. M. Rodrigues & Philipp Sibbertsen & Michelle Voges, 2024. "The stability of government bond markets’ equilibrium and the interdependence of lending rates," Empirical Economics, Springer, vol. 67(6), pages 2503-2538, December.
- Kremer, Manfred, 1999. "Die Kapitalmarktzinsen in Deutschland und den USA: Wie eng ist der Zinsverbund? Eine Anwendung der multivariaten Kointegrationsanalyse," Discussion Paper Series 1: Economic Studies 1999,02, Deutsche Bundesbank.
- Kerkemeier, Marco & Kruse-Becher, Robinson, 2022. "Join the club! Dynamics of global ESG indices convergence," Finance Research Letters, Elsevier, vol. 49(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Hassapis, Christis & Pittis, Nikitas & Prodromidis, Kyprianos, 1999. "Unit roots and Granger causality in the EMS interest rates: the German Dominance Hypothesis revisited," Journal of International Money and Finance, Elsevier, vol. 18(1), pages 47-73, January.
- Alexakis, Panayotis & Apergis, Nicholas & Xanthakis, Emmanuel, 1997. "Integration of international capital markets: further evidence from EMS and non-EMS membership," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(3), pages 277-287, October.
- Bremnes, Helge & Gjerde, Oystein & Saettem, Frode, 1997. "A multivariate cointegration analysis of interest rates in the Eurocurrency market," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 767-778, September.
- Hafer, R. W. & Kutan, Ali M. & Su Zhou, 1997. "Linkage in EMS term structures: evidence from common trend and transitory components," Journal of International Money and Finance, Elsevier, vol. 16(4), pages 595-607, August.
- repec:bla:scandj:v:103:y:2001:i:1:p:127-45 is not listed on IDEAS
- Nikiforos Laopodis, 2001. "International Interest-Rate Transmission and the “German Dominance Hypothesis” Within EMS," Open Economies Review, Springer, vol. 12(4), pages 347-377, October.
- Kadow, Alexander & Cerrato, Mario & MacDonald, Ronald & Straetmans, Stefan, 2013.
"Does the euro dominate Central and Eastern European money markets?,"
Journal of International Money and Finance, Elsevier, vol. 32(C), pages 700-718.
- Cerrato, Mario & Kadow, Alexander & MacDonald, Ronald & Straetmans, Stefan, 2010. "Does the euro dominate Central and Eastern European money markets?," SIRE Discussion Papers 2010-55, Scottish Institute for Research in Economics (SIRE).
- Mario Cerrato & Alexander Kadow & Ronald MacDonald, 2010. "Does the euro dominate Central and Eastern European money markets?," Working Papers 2010_21, Business School - Economics, University of Glasgow.
- Philippe Gudin & Antoine Magnier & Nicolas Ponty, 1991. "Taux d'intérêt : une asymétrie moins forte," Économie et Statistique, Programme National Persée, vol. 246(1), pages 55-63.
- Oscar Bajo-Rubio & M. Dolores Montávez-Garcés, 2002.
"Was There Monetary Autonomy in Europe on the Eve of Emu? the German Dominance Hypothesis Re-Examined,"
Journal of Applied Economics, Taylor & Francis Journals, vol. 5(2), pages 185-207, November.
- Bajo-Rubio, Oscar & Montavez-Garces, M. Dolores, 2002. "Was there Monetary Autonomy in Europe on the eve of EMU? The German Dominance Hypothesis Re-Examined," Journal of Applied Economics, Universidad del CEMA, vol. 5(2), pages 1-26, November.
- Oscar Bajo-Rubio & M. Dolores Montávez-Garcés, 2002. "Was there Monetary Autonomy in Europe on the eve of EMU? The German Dominance Hypothesis Re-Examined," Journal of Applied Economics, Universidad del CEMA, vol. 5, pages 185-207, November.
- Marco Barassi & Guglielmo Maria Caporale & Stephen Hall, 2005. "Interest rate linkages: identifying structural relations," Applied Financial Economics, Taylor & Francis Journals, vol. 15(14), pages 977-986.
- Fujihara, Roger A. & Mougoue, Mbodja, 1996. "International linkages between short-term real interest rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(4), pages 451-473.
- Nieh, Chien-Chung & Yau, Hwey-Yun, 2004. "Time series analysis for the interest rates relationships among China, Hong Kong, and Taiwan money markets," Journal of Asian Economics, Elsevier, vol. 15(1), pages 171-188, February.
- Vuyyuri, S., 2004. "Linkages of Indian Interest Rates with US and Japanese Rates," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 4(2).
- Oscar Bajo-Rubio & M. Dolores Montávez-Garcés, 2002.
"Was there Monetary Autonomy in Europe on the eve of EMU? The German Dominance Hypothesis Re-Examined,"
Journal of Applied Economics, Universidad del CEMA, vol. 5, pages 185-207, November.
- Oscar Bajo-Rubio & M. Dolores Montávez-Garcés, "undated". "There was monetary autonomy in Europe on the eve of EMU?. The German dominance hypothesis re-examined," Studies on the Spanish Economy 52, FEDEA.
- Oscar Bajo & Maria Dolores Montavez, 1999. "There Was Monetary Autonomy In Europe On the Eve Of Emu? The German Dominance Hypothesis Re-Examined," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 9906, Departamento de Economía - Universidad Pública de Navarra.
- Zhou, Su, 2003. "Interest rate linkages within the European Monetary System: new evidence incorporating long-run trends," Journal of International Money and Finance, Elsevier, vol. 22(4), pages 571-590, August.
- Kim, Soyoung, 2002. "Exchange rate stabilization in the ERM: identifying European monetary policy reactions," Journal of International Money and Finance, Elsevier, vol. 21(3), pages 413-434, June.
- Laopodis, Nikiforos T., 2004. "European and international asymmetry in the volatility transmission mechanism: the "German Dominance Hypothesis" revisited," Journal of Economics and Business, Elsevier, vol. 56(2), pages 75-97.
- Mariam Camarero & Cecilio Tamarit, 1996. "Cointegration and the PPP and the UIP hypotheses: An application to the Spanish integration in the EC," Open Economies Review, Springer, vol. 7(1), pages 61-76, January.
- Brada, Josef C. & Kutan, Ali M., 2001.
"The convergence of monetary policy between candidate countries and the European Union,"
Economic Systems, Elsevier, vol. 25(3), pages 215-231, September.
- Brada, Josef C. & Ktan, Ali M., 2001. "The convergence of monetary policy between candidate countries and the European Union," ZEI Working Papers B 07-2001, University of Bonn, ZEI - Center for European Integration Studies.
- Guglielmo Maria Caporale & Nikitas Pittis, 1997. "Domestic and external factors in interest rate determination," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 465-471.
- Anoruo, Emmanuel & Ramchander, Sanjay & Thiewes, Harold F., 2002. "International linkage of interest rates: Evidence from the emerging economies of Asia," Global Finance Journal, Elsevier, vol. 13(2), pages 217-235.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmacro:v:18:y:1996:i:4:p:693-714. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/622617 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.