Stochastic Process Switching and the Return to Gold, 1925
AbstractThe authors analyze and estimate the effect on the dollar/sterling exchange rate in the early 1920s of anticipations of the return to the gold standard at prewar parity in the United Kingdom. These measures are consistent with a class of models of the exchange rate that includes a version of the monetary model and with any fundamentals that follow a random walk with drift. Contrary to some contemporary views, the appreciation of sterling prior to April 1925 appears to have been due to fundamentals (such as restrictive monetary policy) rather than to the expectation of a change in regime. Copyright 1990 by Royal Economic Society.
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Bibliographic InfoArticle provided by Royal Economic Society in its journal The Economic Journal.
Volume (Year): 100 (1990)
Issue (Month): 399 (March)
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- Gregor W. Smith & R. Todd Smith, 1988. "Stochastic Process Switching and the Return to Gold, 1925," Working Papers 723, Queen's University, Department of Economics.
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- Gregor W. Smith, 1995.
1248, Queen's University, Department of Economics.
- Bayoumi, Tamim & Bordo, Michael D, 1998.
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- Robert P. Flood & Andrew K. Rose & Donald J. Mathieson, 1990. "Is the EMS the perfect fix? An empirical exploration of exchange rate target zones," International Finance Discussion Papers 388, Board of Governors of the Federal Reserve System (U.S.).
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