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Interaction entre taux d'intérêt allemands et français : un réexamen de l'hypothèse de dominance allemande

Author

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  • Marie Podevin

    (MAD - Université Paris 1)

Abstract

This paper investigates short-term French and German interest rate linkages through a causal inference strategy connected to the notion of variables controllability proposed by Hoover [1991]. This approach uses the relative invariance of the conditional and marginal probability distributions of the variables of interest (here French and German rates). Our results support unidirectional causality from German rates to French rates before 1988 and bi-directional after this date. We conclude therefore that the new EMS is less asymmetric than the old one

Suggested Citation

  • Marie Podevin, 1998. "Interaction entre taux d'intérêt allemands et français : un réexamen de l'hypothèse de dominance allemande," Cahiers de la Maison des Sciences Economiques 98027, Université Panthéon-Sorbonne (Paris 1).
    • Handle: RePEc:mse:wpsorb:98027
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    More about this item

    Keywords

    causality; invariance; instability;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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