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Measuring Market Integration: Foreign Exchange Arbitrage and the Gold Standard, 1879-1913

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

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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 National Bureau of Economic Research, Inc in its series NBER Working Papers with number 10583.

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Date of creation: Jun 2004
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Handle: RePEc:nbr:nberwo:10583

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Find related papers by JEL classification:
N1 - Economic History - - Macroeconomics and Monetary Economics; Growth and Fluctuations
F3 - International Economics - - International Finance

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  1. 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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  2. 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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  3. Simon M. Potter, 1999. "Nonlinear time series modelling: an introduction," Staff Reports 87, Federal Reserve Bank of New York. [Downloadable!]
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  4. Kapetanios, G., 1999. "Model Selection in Threshold Models," Cambridge Working Papers in Economics 9906, Faculty of Economics, University of Cambridge. [Downloadable!]
  5. Hansen, Bruce E, 1999. " Testing for Linearity," Journal of Economic Surveys, Blackwell Publishing, vol. 13(5), pages 551-76, December. [Downloadable!] (restricted)
  6. repec:att:wimass:1919997 is not listed on IDEAS
  7. 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!]
  8. repec:cup:etheor:v:13:y:1997:i:3:p:315-52 is not listed on IDEAS
  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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