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Exchange Rates and Casualties During the First World War

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Author Info
George J. Hall (Cowles Foundation, Yale University)

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Abstract

I estimate a single factor model of Swiss exchange rates during World War I for five of the primary belligerents: Britain, France, Italy, Germany, and Austria-Hungary. At the outbreak of the war these nations suspended convertibility of their currencies into gold with the promise that after the war each would restore convertibility at the old par. However, once convertibility was suspended, each currency became a state-contingent claim; after the war it would pay off at (or near) the old par if the country won or pay off significantly less than par (perhaps nothing) if the country lost. The single factor extracted from the five exchange rates appears to contain information on contemporaries' expectations about the war's outcome. Innovations to the single factor are correlated with time series on soldiers killed and wounded and soldiers taken prisoner.

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File URL: http://cowles.econ.yale.edu/P/cd/d13a/d1321.pdf
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Publisher Info
Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 1321.

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Length: 37 pages
Date of creation: Aug 2001
Date of revision:
Handle: RePEc:cwl:cwldpp:1321

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Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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Related research
Keywords: First World War; factor models; principal component analysis;

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Find related papers by JEL classification:
E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
N14 - Economic History - - Macroeconomics and Monetary Economics; Growth and Fluctuations - - - Europe: 1913-
N24 - Economic History - - Financial Markets and Institutions - - - Europe: 1913-
F31 - International Economics - - International Finance - - - Foreign Exchange

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Barro, Robert J, 1979. "On the Determination of the Public Debt," Journal of Political Economy, University of Chicago Press, vol. 87(5), pages 940-71, October. [Downloadable!] (restricted)
  2. William O. Brown, Jr. & Richard C.K. Burdekin, . "Turning Points in the U.S. Civil War: A British Perspective," Claremont Colleges Working Papers 1999-29, Claremont Colleges. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Vincent Medina & Cyr-Denis Nidier, 2003. "Pricing war within a real option framework * The opinions expressed in this paper are those of the authors and do not reflect those of the French Ministry of Defence," Defence and Peace Economics, Taylor and Francis Journals, vol. 14(6), pages 425-435, December. [Downloadable!] (restricted)
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This page was last updated on 2009-11-12.

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