Henry, J. and McAdam, Peter (2001) A Retrospective Structural Break Analysis of the French German Interest Rate Differential in the run up to EMU. International Finance Review, 2 . pp. 21-49. ISSN 1569-3767. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)
Mean breaks in the Franco-German interest rate differential prior to European Monetary Union can have an economic interpretation, namely gains or losses in credibility of the corresponding ERM central exchange rate. A variety of tests are used to detect such breaks, on daily data covering the 1990s. The analysis paints a broadly consistent picture of these breaks and how expectations evolved before EMU. Results suggest that credibility was characterised by gains as well as setbacks; however an effective convergence is found from 1996 onwards, suggesting a major increase of the credibility of the French participation to EMU around that date.
|Subjects:||H Social Sciences|
|Divisions:||Faculties > Social Sciences > School of Economics|
|Depositing User:||G.F. Green|
|Date Deposited:||21 Mar 2009 18:18|
|Last Modified:||14 Jan 2010 14:35|
|Resource URI:||https://kar.kent.ac.uk/id/eprint/9454 (The current URI for this page, for reference purposes)|