Exchange Rates and Casualties During the First World War
AbstractI estimate two factor models of Swiss exchange rates during the FirstWorldWar. I have data 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, the value of each currency depended on the outcome of the war. I decompose exchange rate movements into a common trend, a common factor, and country-specific factors. Movements in the common trend are consistent with the quantity theory of money. The common factor contains information on contemporaries' expectations about the war's resolution. Innovations to this common factor are correlated with time series on soldiers killed, wounded, and taken prisoner.
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Date of creation: Oct 2002
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Publication status: published as Hall, George J. "Exchange Rates And Casualties During The First World War," Journal of Monetary Economics, 2004, v51(8,Nov), 1711-1742.
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- Hall, George J., 2004. "Exchange rates and casualties during the first world war," Journal of Monetary Economics, Elsevier, vol. 51(8), pages 1711-1742, November.
- George J. Hall, 2001. "Exchange Rates and Casualties During the First World War," Cowles Foundation Discussion Papers 1321, Cowles Foundation for Research in Economics, Yale University.
- N1 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
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