In this paper we use a recently developed multivariate cointegration technique to analyze the degree of policy convergence of EMS member relative to that of some non-EMS countries. Interestingly, we find convergence for the nominal and real exchange rates and money supplies of the EMS members but not for the non-EMS countries. We also provide some evidence to support the "German leadership hypothesis" in the context of intra-EMS monetary policy convergence, which accords with anecdotal evidence on the modus operandi of the EMS.