This study uses non-stationary econometrics to analyze asymmetry and dominance within the EMS through interest rate linkages between the French franc, the German deutsche mark and the US dollar. High frequency data (daily Eurorates from April 1983 to the end of 1992) are used for their better...

Discount rate changes always receive considerable attention in financial markets and a bulk of empirical papers shows that asset prices react to them. However, among researcher, there is no consensus yet about why markets respond to such changes. This paper analyses this issue for the...

It is commonly found in empirical studies that nominal interest rates contain a unit root, implying that these variables have a permanent memory. One of the characteristics of a nonstationary time series is that it has no tendency to return to its mean values, meaning that the series is trending...

Using information contained in forward interest rates, this paper attempts to assess the probability that European Monetary Union (EMU) occurs and that a particular country participates. It is shown that since the Madrid "summit" the public has become increasingly optimistic about the...

One prominent characteristic of independent central bank is the legal limitation of the central bank's lending to the government. Although a priori we expect a strong link between the legal restriction on central bank credit to the government and seigniorage, the empirical cross-country evidence...

The EMS crisis of 1992-1993, which resulted in the widening of the exchange rate bands, may have had some impact on the long-run structure of the system consisting of daily 1-month-Eurorates on German Mark, US-Dollar and French Franc. First, we find that both the US Eurorate and the...

This paper attempts to analyze the impact of German unification on the position that Germany holds within the European Monetary System (EMS), i.\ e.\ on the asymmetry in the EMS. Applying kernel estimation and bootstrap methods we can corroborate the result of previous studies that Germany's...