Measuring Market Integration: Foreign Exchange Arbitrage and the Gold Standard, 1879-1913
AbstractA 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 10583.
Date of creation: Jun 2004
Date of revision:
Note: DAE IFM
Contact details of provider:
Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Web page: http://www.nber.org
More information through EDIRC
Other versions of this item:
- Eugene Canjels & Gauri Prakash-Canjels & Alan M. Taylor, 2004. "Measuring Market Integration: Foreign Exchange Arbitrage and the Gold Standard, 1879-1913," The Review of Economics and Statistics, MIT Press, vol. 86(4), pages 868-882, November.
- N1 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations
- F3 - International Economics - - International Finance
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-06-27 (All new papers)
- NEP-FIN-2004-06-27 (Finance)
- NEP-HIS-2004-06-27 (Business, Economic & Financial History)
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.:
- Barry Eichengreen., 1990.
"Trends and Cycles in Foreign Lending,"
Economics Working Papers
90-146, University of California at Berkeley.
- Eichengreen, Barry, 1990. "Trends and Cycles in Foreign Lending," Department of Economics, Working Paper Series qt82z7083m, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Eichengreen, Barry, 1990. "Trends and Cycles in Foreign Lending," CEPR Discussion Papers 451, C.E.P.R. Discussion Papers.
- Barry Eichengreen, 1990. "Trends and Cycles in Foreign Lending," NBER Working Papers 3411, National Bureau of Economic Research, Inc.
- Hansen, Bruce E, 1999.
" Testing for Linearity,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 13(5), pages 551-76, December.
- Kapetanios, G., 1999. "Model Selection in Threshold Models," Cambridge Working Papers in Economics 9906, Faculty of Economics, University of Cambridge.
- Jushan Bai, 1995.
"Estimating Multiple Breaks One at a Time,"
95-18, Massachusetts Institute of Technology (MIT), Department of Economics.
- repec:cup:etheor:v:13:y:1997:i:3:p:315-52 is not listed on IDEAS
- Obstfeld,Maurice & Taylor,Alan M., 2004.
"Global Capital Markets,"
Cambridge University Press, number 9780521633178, October.
- Krugman, Paul R, 1991.
"Target Zones and Exchange Rate Dynamics,"
The Quarterly Journal of Economics,
MIT Press, vol. 106(3), pages 669-82, August.
- Oskar Morgenstern, 1959. "International Financial Transactions and Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number morg59-1, December.
- Potter, Simon M, 1999.
" Nonlinear Time Series Modelling: An Introduction,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 13(5), pages 505-28, December.
- 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.
- Robert B. Davies, 2002. "Hypothesis testing when a nuisance parameter is present only under the alternative: Linear model case," Biometrika, Biometrika Trust, vol. 89(2), pages 484-489, June.
- Malliaris, A.G. & Malliaris, Mary, 2011.
"Are oil, gold and the euro inter-related? time series and neural network analysis,"
35266, University Library of Munich, Germany.
- A. Malliaris & Mary Malliaris, 2013. "Are oil, gold and the euro inter-related? Time series and neural network analysis," Review of Quantitative Finance and Accounting, Springer, vol. 40(1), pages 1-14, January.
- Jacks, David S., 2006. "What drove 19th century commodity market integration?," Explorations in Economic History, Elsevier, vol. 43(3), pages 383-412, July.
- Volckart, Oliver & Wolf, Nikolaus, 2004. "Estimating medieval market integration: Evidence from exchange rates," Discussion Papers 2004/21, Free University Berlin, School of Business & Economics.
- Menkhoff, Lukas & Rebitzky, Rafael, 2007.
"Investor sentiment in the US-dollar: longer-term, nonlinear orientation on PPP,"
Diskussionspapiere der Wirtschaftswissenschaftlichen FakultÃ¤t der Leibniz UniversitÃ¤t Hannover
dp-376, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Menkhoff, Lukas & Rebitzky, Rafael R., 2008. "Investor sentiment in the US-dollar: Longer-term, non-linear orientation on PPP," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 455-467, June.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.