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The pitfalls of estimating transactions costs from price data: evidence from trans-Atlantic gold-point arbitrage, 1886-1905

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Author Info
Andrew Coleman (Reserve Bank of New Zealand)
Abstract

This paper argues that bilateral spatial price models do not estimate bilateral transactions costs when trade with third cities is important. The paper examines trans-Atlantic gold arbitrage during the gold standard era by assembling a database indicating when trans-Atlantic gold shipments occurred. It shows that two-way gold shipments between New York and London frequently occurred prior to 1901. However, in 1901 gold shipments to London ceased and were replaced by triangular arbitrage shipments through Paris. Consequently, New York and London gold price data cannot be used to estimate New York-London transactions costs after 1901, as no trade took place.

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File URL: http://www.rbnz.govt.nz/research/discusspapers/dp07_07.pdf
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Paper provided by Reserve Bank of New Zealand in its series Reserve Bank of New Zealand Discussion Paper Series with number DP2007/07.

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Length: 40 p.
Date of creation: Apr 2007
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Handle: RePEc:nzb:nzbdps:2007/07

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F15 - International Economics - - Trade - - - Economic Integration
F31 - International Economics - - International Finance - - - Foreign Exchange

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  1. Angus Deaton & Guy Laroque, 1990. "On The Behavior of Commodity Prices," NBER Working Papers 3439, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  2. Fackler, Paul L. & Goodwin, Barry K., 2001. "Spatial price analysis," Handbook of Agricultural Economics, in: B. L. Gardner & G. C. Rausser (ed.), Handbook of Agricultural Economics, edition 1, volume 1, chapter 17, pages 971-1024 Elsevier. [Downloadable!] (restricted)
  3. Spiller, Pablo T. & Wood, Robert O., 1988. "The estimation of transaction costs in arbitrage models," Journal of Econometrics, Elsevier, vol. 39(3), pages 309-326, November. [Downloadable!] (restricted)
  4. Brennan, Donna & Williams, Jeffrey & Wright, Brian D, 1997. "Convenience Yield without the Convenience: A Spatial-Temporal Interpretation of Storage under Backwardation," Economic Journal, Royal Economic Society, vol. 107(443), pages 1009-22, July. [Downloadable!] (restricted)
  5. Barrett, Christopher B & Li, Jau Rong, 2002. " Distinguishing between Equilibrium and Integration in Spatial Price Analysis," American Journal of Agricultural Economics, American Agricultural Economics Association, vol. 84(2), pages 292-307, May. [Downloadable!] (restricted)
  6. Deaton, Angus & Laroque, Guy, 1996. "Competitive Storage and Commodity Price Dynamics," Journal of Political Economy, University of Chicago Press, vol. 104(5), pages 896-923, October. [Downloadable!] (restricted)
  7. repec:cup:cbooks:9780521326162 is not listed on IDEAS
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