The University of Southampton
University of Southampton Institutional Repository

Money-income relationships between three ERM countries

Money-income relationships between three ERM countries
Money-income relationships between three ERM countries
This paper investigates the monetary interdependence and the money-income relationship between countries under a pegged and a floating exchange rate system during the same time period (1979-1997). The relationship is tested between three ERM countries, France, Germany and Holland, and also between these countries and the United States. The ERM countries have a pegged exchange rate between themselves, and the rate between these countries and the United States is freely floating. The empirical tests are conducted by means of the Johansen multivariate cointegration method and the error correction model. Among the ERM countries, international transmission of monetary policy is found in almost all directions. This may provide evidence against the theory of German domination of the EMU. In the second set of tests, the United States money is found to affect all three European incomes but not vice versa.
monetary policy, cointegration, error correction, speed of adjustment, exchange rate
1667-6726
59-94
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728

Choudhry, Taufiq (2002) Money-income relationships between three ERM countries. Journal of Applied Economics, 5 (1), 59-94.

Record type: Article

Abstract

This paper investigates the monetary interdependence and the money-income relationship between countries under a pegged and a floating exchange rate system during the same time period (1979-1997). The relationship is tested between three ERM countries, France, Germany and Holland, and also between these countries and the United States. The ERM countries have a pegged exchange rate between themselves, and the rate between these countries and the United States is freely floating. The empirical tests are conducted by means of the Johansen multivariate cointegration method and the error correction model. Among the ERM countries, international transmission of monetary policy is found in almost all directions. This may provide evidence against the theory of German domination of the EMU. In the second set of tests, the United States money is found to affect all three European incomes but not vice versa.

Full text not available from this repository.

More information

Published date: 2002
Keywords: monetary policy, cointegration, error correction, speed of adjustment, exchange rate

Identifiers

Local EPrints ID: 35835
URI: http://eprints.soton.ac.uk/id/eprint/35835
ISSN: 1667-6726
PURE UUID: a61c0df8-4370-4715-940d-20426342c902
ORCID for Taufiq Choudhry: ORCID iD orcid.org/0000-0002-0463-0662

Catalogue record

Date deposited: 23 May 2006
Last modified: 18 Feb 2021 16:55

Export record

Contributors

Author: Taufiq Choudhry ORCID iD

University divisions

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×