Interest Rate Risk and Monetary Union in the European Periphery: Lessons from the Gold Standard, 1880-1914
AbstractI analyze time-varying risk premia in long-term government securities during the classical gold standard period 1880-1914. I employ a quasi-capital asset pricing model (CAPM) to analyze the time path of systematic risk for a cross section of six countries that adhered to the gold standard to varying degrees.
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Bibliographic InfoPaper provided by European Institute - History in its series Papers with number 99/5.
Length: 32 pages
Date of creation: 1999
Date of revision:
Contact details of provider:
Postal: EUROPEAN UNIVERSITY INSTITUTE, ECONOMICS DEPARTMENT, BADIA FIESOLANA, SAN DOMENICO (FI), ITALY
MONETARY UNION ; ECONOMIC HISTORY ; RISK ; INTEREST RATE;
Find related papers by JEL classification:
- N13 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - Europe: Pre-1913
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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