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Financial market integration in the early modern period in Spain: Results from a threshold error correction model

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  • Bernholz, Peter
  • Kugler, Peter
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    Abstract

    The application of a threshold error correction model to the exchange rates of the Spanish Ducado and the Dutch Groat in Seville and Medina del Campo in the 16th century indicates that the band of arbitrage inactivity was 6%.

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    File URL: http://www.sciencedirect.com/science/article/B6V84-51JF803-1/2/5749a7d1aa828a422ea006bd1b09895a
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    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 110 (2011)
    Issue (Month): 2 (February)
    Pages: 93-96

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    Handle: RePEc:eee:ecolet:v:110:y:2011:i:2:p:93-96

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    Web page: http://www.elsevier.com/locate/ecolet

    Related research

    Keywords: Financial market integration Threshold error correction Groat/Ducado exchange rates Seville Medina del Campo;

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    1. Ronald Findlay & Kevin H. O'Rourke, 2007. "Power and Plenty: Trade, War and the World Economy in the Second Millennium (Preface)," The Institute for International Integration Studies Discussion Paper Series iiisdp205, IIIS.
    2. Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-45, August.
    3. Volckart, Oliver & Wolf, Nikolaus, 2006. "Estimating Financial Integration in the Middle Ages: What Can We Learn from a TAR Model?," The Journal of Economic History, Cambridge University Press, vol. 66(01), pages 122-139, March.
    4. Ronald Findlay & Kevin H. O'Rourke, 2007. "Introduction to Power and Plenty: Trade, War, and the World Economy in the Second Millennium," Introductory Chapters, in: Power and Plenty: Trade, War, and the World Economy in the Second Millennium Princeton University Press.
    5. Ronald Findlay & Kevin H. O'Rourke, 2007. "Preface to Power and Plenty: Trade, War, and the World Economy in the Second Millennium," Introductory Chapters, in: Power and Plenty: Trade, War, and the World Economy in the Second Millennium Princeton University Press.
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