A Retrospective Structural Break Analysis of the French German Interest Rate Differential in the run up to EMU

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)

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Official URL
http://dx.doi.org/10.1016/S1569-3767(01)02004-0

Abstract

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.

Item Type: Article
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)
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