Stochastic Process Switching and the Return to Gold, 1925
AbstractWe present numerical estimates of the effect on the dollar/sterling exchange rate in the early 1920s of anticipations of the return to the gold standard at pre-war parity in the U.K. These measures are calculated using a weak version of the monetary model of the exchange rate but are consistent with any exchange-rate fundamentals which follow a random walk with drift. Contrary to some contemporary views, the appreciation of the sterling prior to April 1925 appears to have been due mainly to fundamentals (such as restrictive monetary policy) rather than to the expectation of a change in regime.
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Bibliographic InfoPaper provided by Queen's University, Department of Economics in its series Working Papers with number 723.
Length: 22 pages
Date of creation: 1988
Date of revision:
Other versions of this item:
- Smith, Gregor W & Smith, R Todd, 1990. "Stochastic Process Switching and the Return to Gold, 1925," Economic Journal, Royal Economic Society, vol. 100(399), pages 164-75, March.
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