Estimating Financial Integration in the Middle Ages: What Can We Learn from a TAR Model?
AbstractWe estimate a threshold autoregressive model to assess medieval financial integration. Our approach is based on the analysis of deviations between exchange rates and parity, which in a fully integrated market should not exceed bullion points. Hence, the time needed for adjustment, following a violation of the bullion points, is a measure of integration. We apply this approach to exchange between fourteenth- and fifteenth-century Flanders, L beck, and Prussia, results showing that whereas it took about eight months to reduce deviations between Flanders and L beck by 50 percent, those between Flanders and Prussia were roughly twice as persistent.
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Bibliographic InfoArticle provided by Cambridge University Press in its journal The Journal of Economic History.
Volume (Year): 66 (2006)
Issue (Month): 01 (March)
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- Börner, Lars & Severgnini, Battista, 2011.
2011/12, Free University Berlin, School of Business & Economics.
- Bernholz, Peter & Kugler, Peter, 2011. "Financial market integration in the early modern period in Spain: Results from a threshold error correction model," Economics Letters, Elsevier, vol. 110(2), pages 93-96, February.
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