The Restoration of the Gold Standard after the US Civil War: A Volatility Analysis
AbstractUsing a Markov-switching GARCH model this paper analyzes the volatility evolution of the greenback's price in gold from after the Civil War until the return to gold convertibility in 1879. The econometric inference associated with our methodology indicates a switch to a regime of low volatility roughly seven months before the actual resumption. Since this empirical finding is most likely to be reconciled with a change in market expectations, we conclude that expectations affected the exchange rate more than fundamentals. Our analysis also demonstrates that regime switches in the volatility of exchange rates may refl ect historical events that remain undiscovered otherwise.
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Bibliographic InfoPaper provided by Center for Quantitative Economics (CQE), University of Muenster in its series CQE Working Papers with number 2011.
Length: 33 pages
Date of creation: Feb 2011
Date of revision:
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More information through EDIRC
Monetary history; 19th century; USA; greenback; Markov-switching GARCH models;
Other versions of this item:
- Meulemann, Max & Uebele, Martin & Wilfling, Bernd, 2014. "The restoration of the gold standard after the US Civil War: A volatility analysis," Journal of Financial Stability, Elsevier, vol. 12(C), pages 37-46.
- Max Meulemann & Martin Uebele & Bernd Wilfling, 2012. "The Restoration of the Gold Standard after the US Civil War: A Volatility Analysis," Global COE Hi-Stat Discussion Paper Series gd12-251, Institute of Economic Research, Hitotsubashi University.
- A - General Economics and Teaching
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-02-26 (All new papers)
- NEP-HIS-2011-02-26 (Business, Economic & Financial History)
- NEP-IFN-2011-02-26 (International Finance)
- NEP-MON-2011-02-26 (Monetary Economics)
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