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Please use this identifier to cite or link to this item: http://purl.umn.edu/44428

Title: Money-Income Relationships between Three ERM Countries
Authors: Choudhry, Taufiq
Keywords: monetary policy
cointegration
error correction
speed of adjustment
exchange rate
JEL Codes: E50
E52
Issue Date: 2002-05
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.
URI: http://purl.umn.edu/44428
Identifiers: Print ISSN 1514-0326
Online ISSN 1667-6726
Institution/Association: Journal of Applied Economics>Volume 5, Number 1, May 2002
Total Pages: 37
From Page: 59
To Page: 94
Collections:Volume 05, Number 1, May 2002

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