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Keywords:European Monetary System (Organization) 

Managing exchange rates: the experience of the European monetary system

Research Paper , Paper 8814

Working Paper
Speculative attacks on pegged exchange rates: an empirical exploration with special reference to the European Monetary System

This paper presents an empirical analysis of speculative attacks on pegged exchange rates in 22 countries between 1967 and 1992. We define speculative attacks or crises as large movements in exchange rates, interest rates, and international reserves. We develop stylized facts concerning the univariate behavior of a variety of macroeconomic variables, comparing crises with periods of tranquility. For ERM observations we cannot reject the null hypothesis that there are few significant differences in the behavior of key macroeconomic variables between crises and non-crisis periods. This null ...
Working Papers in Applied Economic Theory , Paper 95-04

Mean reversion in EMS exchange rates

Research Paper , Paper 9301

Journal Article
Was the ERM crisis inevitable?

Economic Review , Volume 78 , Issue Q IV , Pages 27-40

European integration and asymmetry in the EMS

The empirical literature offers conflicting views of German dominance in the European Monetary System. We examine the validity of the German dominance hypothesis (GDH) by analyzing the responses of the European central banks and the money markets to monetary innovations originating both in Europe (European asymmetry) and abroad (international asymmetry). Our results reconcile the conflicting views in the literature. The GDH is confirmed when the analysis is conducted with intervention rates before the German unification. Results support European asymmetry with short rates before 1990 but not ...
Research Paper , Paper 9605

Journal Article
European exchange rate credibility before the fall: the case of sterling

FRBSF Economic Letter

Working Paper
Monetary and financial integration in the EMU: Push or pull?

A number of studies have recently noted that monetary integration in the European Monetary Union (EMU) has been accompanied by increased financial integration. This paper examines the channels through which monetary union increased financial integration, using international panel data on bilateral international commercial bank claims from 1998-2006. I decompose the relative increase in bilateral commercial bank claims among union members following monetary integration into three possible channels: A "borrower effect," as a country's EMU membership may leave its borrowers more creditworthy ...
Working Paper Series , Paper 2008-11

Working Paper
Technical trading rules in the European Monetary System

Using the genetic programming methodology developed in Neely, Weller and Dittmar (1997), we find trading rules that generate significant excess returns for three of four EMS exchange rates over the out-of-sample period 1986-1996. Permitting the rules to use information about the interest rate differential proved to be important. The reduction in volatility resulting from the imposition of a narrower band may reduce trading rule profitability. The currency for which there was least evidence of significant excess returns was the Dutch guilder, which was also the only currency that remained ...
Working Papers , Paper 1997-015

Working Paper
Fiscal policy coordination and flexibility under European Monetary Union: implications for macroeconomic stabilization

Some writers have proposed that under European Monetary Union fiscal policies should be coordinated to reduce the degree of fiscal activism required for macroeconomic stabilization. The paper shows that, in theory, fiscal policy coordination may lower the degree of fiscal flexibility needed to stabilize a common supply shock. However, fiscal policy coordination may raise the degree of fiscal flexibility needed to stabilize an asymmetric demand shock. These theoretical findings are supported by simulations performed with the Multi-Country Model of the Federal Reserve Board. The results suggest ...
International Finance Discussion Papers , Paper 467


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