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Measuring Market Integration: Foreign Exchange Arbitrage and the Gold Standard 1874-1913

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Author Info
Canjels, Eugene
Prakash-Canjels, Gauri
Taylor, Alan M

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Abstract

A major question in the literature on the classical gold standard concerns the efficiency of international arbitrage. Authors have examined efficiency by looking at the spread of the gold points, gold point violations, the flow of gold, or by tests of various asset market criteria, including speculative efficiency and interest arbitrage. These studies have suffered from many limitations, both methodological and empirical. We offer a new methodology for measuring market integration based on nonlinear theoretical models and threshold autoregressions. We also compile a new, high-frequency series of continuous daily data from 1879 to 1913. We can derive reasonable econometric estimates of the implied gold points and price dynamics. The changes in these measures over time provide an insight into the evolution of market integration.

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 4492.

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Date of creation: Aug 2004
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Handle: RePEc:cpr:ceprdp:4492

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Related research
Keywords: dollar; gold points; market integration; sterling;

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Find related papers by JEL classification:
F30 - International Economics - - International Finance - - - General
N10 - Economic History - - Macroeconomics and Monetary Economics; Growth and Fluctuations - - - General, International, or Comparative

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References listed on IDEAS
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  1. repec:att:wimass:1919997 is not listed on IDEAS
  2. Potter, Simon M, 1999. " Nonlinear Time Series Modelling: An Introduction," Journal of Economic Surveys, Blackwell Publishing, vol. 13(5), pages 505-28, December. [Downloadable!] (restricted)
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  3. Krugman, Paul R, 1991. "Target Zones and Exchange Rate Dynamics," The Quarterly Journal of Economics, MIT Press, vol. 106(3), pages 669-82, August. [Downloadable!] (restricted)
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  4. Bai, Jushan, 1997. "Estimating Multiple Breaks One at a Time," Econometric Theory, Cambridge University Press, vol. 13(03), pages 315-352, June. [Downloadable!]
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  5. Kapetanios, G., 1999. "Model Selection in Threshold Models," Cambridge Working Papers in Economics 9906, Faculty of Economics, University of Cambridge. [Downloadable!]
  6. Officer, Lawrence H., 1983. "Dollar-Sterling Mint Parity and Exchange Rates, 1791?1834," The Journal of Economic History, Cambridge University Press, vol. 43(03), pages 579-616, September. [Downloadable!]
  7. repec:cup:etheor:v:13:y:1997:i:3:p:315-52 is not listed on IDEAS
  8. Hansen, Bruce E, 1999. " Testing for Linearity," Journal of Economic Surveys, Blackwell Publishing, vol. 13(5), pages 551-76, December. [Downloadable!] (restricted)
  9. Eichengreen, Barry, 1990. "Trends and Cycles in Foreign Lending," CEPR Discussion Papers 451, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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