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Was London the Conductor of the International Orchestra or Just the Triangle Player? An Empirical Analysis of Asymmetries in Interest Rate Behaviour during the Classical Gold Standard, 1876-1913

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  • Tullio, Giuseppe
  • Wolters, Jurgen

Abstract

This paper analyzes the interrelationships of official and private discount rates between seven European financial centers and, in particular, between London, Berlin, and Paris. Looking at the days and directions of all official discount rate changes in the seven centers, pairwise leads and lags are analyzed. As to private discount rates, which seems to be stationary, correlations and coherencies are measured, multivariate Granger-causality tests are performed, and impulse response functions are calculated. The paper shows that there are strong mutual feedbacks between interest rates in London, Paris, and Berlin, suggesting that the classical gold standard was a decentralized, multipolar system. Copyright 1996 by Scottish Economic Society.

Suggested Citation

  • Tullio, Giuseppe & Wolters, Jurgen, 1996. "Was London the Conductor of the International Orchestra or Just the Triangle Player? An Empirical Analysis of Asymmetries in Interest Rate Behaviour during the Classical Gold Standard, 1876-1913," Scottish Journal of Political Economy, Scottish Economic Society, vol. 43(4), pages 419-443, September.
    • Handle: RePEc:bla:scotjp:v:43:y:1996:i:4:p:419-43
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    Cited by:

    1. Paolo Di Martino & Fabio C. Bagliano, 2022. "A dissonant violin in the international orchestra? Discount rate policy in Italy (1894-1913)," Carlo Alberto Notebooks 682 JEL Classification: N, Collegio Carlo Alberto.
    2. Tullio, Guiseppe & Wolters, Jürgen, 2004. "Domestic and international determinants of the Reichsbank's liquidity ratios during the classical gold standard, 1876 - 1913: An econometric analysis," Discussion Papers 2004/22, Free University Berlin, School of Business & Economics.
    3. Bordo, Michael D. & Schwartz, Anna J., 1999. "Monetary policy regimes and economic performance: The historical record," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 3, pages 149-234, Elsevier.
    4. Tullio, Guiseppe & Wolters, Jürgen, 2004. "Domestic and international determinants of the bank of France's liquidity ratios during the classical gold standard, 1876 - 1913: An econometric analysis," Discussion Papers 2004/23, Free University Berlin, School of Business & Economics.
    5. Paul Hallwood & Ronald MacDonald & Ian W. Marsh, 2000. "An Assessment of the Causes of the Abandonment of the Gold Standard by the U.S. in 1933," Southern Economic Journal, John Wiley & Sons, vol. 67(2), pages 448-459, October.
    6. Paul Hallwood & Ronald MacDonald, 2008. "International Money and Finance," Working papers 2008-02, University of Connecticut, Department of Economics.
    7. Tullio, Guiseppe & Wolters, Jürgen, 2004. "Domestic and international determinants of the Bank of England's liquidity ratios during the classical gold standard, 1876 - 1913: An econometric analysis," Discussion Papers 2004/27, Free University Berlin, School of Business & Economics.
    8. A'Hearn, Brian & Woitek, Ulrich, 2001. "More international evidence on the historical properties of business cycles," Journal of Monetary Economics, Elsevier, vol. 47(2), pages 321-346, April.

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