IDEAS home Printed from https://ideas.repec.org/a/eee/ecolet/v110y2011i2p93-96.html

Financial market integration in the early modern period in Spain: Results from a threshold error correction model

Author

Listed:
  • Bernholz, Peter
  • Kugler, Peter

Abstract

The application of a threshold error correction model to the exchange rates of the Spanish Ducado and the Dutch Groat in Seville and Medina del Campo in the 16th century indicates that the band of arbitrage inactivity was 6%.

Suggested Citation

  • Bernholz, Peter & Kugler, Peter, 2011. "Financial market integration in the early modern period in Spain: Results from a threshold error correction model," Economics Letters, Elsevier, vol. 110(2), pages 93-96, February.
    • Handle: RePEc:eee:ecolet:v:110:y:2011:i:2:p:93-96
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165-1765(10)00375-7
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. Ronald Findlay & Kevin H. O'Rourke, 2007. "Power and Plenty: Trade, War and the World Economy in the Second Millennium (Preface)," Trinity Economics Papers tep0107, Trinity College Dublin, Department of Economics.
    2. Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-645, August.
    3. Taylor, Alan M. & Canjels, Eugene & Prakash-Canjels, Gauri, 2004. "Measuring Market Integration: Foreign Exchange Arbitrage and the Gold Standard 1874-1913," CEPR Discussion Papers 4492, C.E.P.R. Discussion Papers.
    4. Eugene Canjels & Gauri Prakash-Canjels & Alan M. Taylor, 2004. "Measuring Market Integration: Foreign Exchange Arbitrage and the Gold Standard, 1879-1913," The Review of Economics and Statistics, MIT Press, vol. 86(4), pages 868-882, November.
    5. Gauri Prakash & Alan M. Taylor, 1997. "Measuring Market Integration: A Model of Arbitrage with an Econometric Application to the Gold Standard, 1879-1913," NBER Working Papers 6073, National Bureau of Economic Research, Inc.
    6. Volckart, Oliver & Wolf, Nikolaus, 2006. "Estimating Financial Integration in the Middle Ages: What Can We Learn from a TAR Model?," The Journal of Economic History, Cambridge University Press, vol. 66(1), pages 122-139, March.
    7. Ronald Findlay & Kevin H. O'Rourke, 2007. "Introduction to Power and Plenty: Trade, War, and the World Economy in the Second Millennium," Introductory Chapters, in: Power and Plenty: Trade, War, and the World Economy in the Second Millennium, Princeton University Press.
    8. Ronald Findlay & Kevin H. O'Rourke, 2007. "Preface to Power and Plenty: Trade, War, and the World Economy in the Second Millennium," Introductory Chapters, in: Power and Plenty: Trade, War, and the World Economy in the Second Millennium, Princeton University Press.
    9. Jacks, David S., 2005. "Intra- and international commodity market integration in the Atlantic economy, 1800-1913," Explorations in Economic History, Elsevier, vol. 42(3), pages 381-413, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nils Herger, 2018. "Interest-parity conditions during the era of the classical gold standard (1880–1914)—evidence from the investment demand for bills of exchange in Europe," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 154(1), pages 1-12, December.
    2. Adam Brzezinski & Yao Chen & Nuno Palma & Felix Ward, 2024. "The Vagaries of the Sea: Evidence on the Real Effects of Money from Maritime Disasters in the Spanish Empire," The Review of Economics and Statistics, MIT Press, vol. 106(5), pages 1220-1235, September.
    3. Cyril Milhaud, 2018. "Fragmentation of long-term credit markets in early modern Spain? Composite monarchies and their jurisdictions," Working Papers hal-01365882, HAL.
    4. Stephen Norman, 2016. "Attractor misspecification and threshold estimation bias," Economics Bulletin, AccessEcon, vol. 36(4), pages 1911-1921.
    5. Ling-Fan Li, 2015. "Information asymmetry and the speed of adjustment: debasements in the mid-sixteenth century," Economic History Review, Economic History Society, vol. 68(4), pages 1203-1225, November.
    6. Ernst Baltensperger & Peter Kugler, 2016. "The historical origins of the safe haven status of the Swiss franc:," Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, vol. 67(02), pages 1-30, August.
    7. Nogues-Marco, Pilar & Herranz-Loncán, Alfonso & Aslanidis, Nektarios, 2019. "The Making of a National Currency: Spatial Transaction Costs and Money Market Integration in Spain (1825–1874)," The Journal of Economic History, Cambridge University Press, vol. 79(4), pages 1094-1128, December.
    8. Adrian R. Bell & Chris Brooks & Tony K. Moore, 2017. "Did Purchasing Power Parity Hold in Medieval Europe?," Manchester School, University of Manchester, vol. 85(6), pages 682-709, December.
    9. Matthias Gubler, 2014. "Carry Trade Activities: A Multivariate Threshold Model Analysis," Working Papers 2014-06, Swiss National Bank.
    10. Peter Kugler, 2011. "Financial Market Integration in Late Medieval Europe: Results from a Threshold Error Correction Model for the Rhinegulden and Basle Pound 1365-1429," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 147(III), pages 337-352, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Peter Kugler, 2011. "Financial Market Integration in Late Medieval Europe: Results from a Threshold Error Correction Model for the Rhinegulden and Basle Pound 1365-1429," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 147(III), pages 337-352, September.
    2. Jacks, David S., 2006. "What drove 19th century commodity market integration?," Explorations in Economic History, Elsevier, vol. 43(3), pages 383-412, July.
    3. Giovanni Federico & Antonio Tena-Junguito, 2017. "A tale of two globalizations: gains from trade and openness 1800–2010," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 153(3), pages 601-626, August.
    4. Bruce Blonigen & Anca Cristea, 2013. "The Effects of the Interstate Commerce Act on Transport Costs: Evidence from Wheat Prices," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 43(1), pages 41-62, August.
    5. Stephen Norman, 2016. "Attractor misspecification and threshold estimation bias," Economics Bulletin, AccessEcon, vol. 36(4), pages 1911-1921.
    6. Chilosi, David & Volckart, Oliver, 2009. "Money, states and empire: financial integration cycles and institutional change in Central Europe, 1400-1520," Economic History Working Papers 27884, London School of Economics and Political Science, Department of Economic History.
    7. Ferreira, Pedro Cavalcanti & Pessôa, Samuel & Santos, Marcelo Rodrigues, 2011. "Globalization and the Industrial Revolution," Insper Working Papers wpe_253, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    8. Daniel Barbezat, 2011. "The Economic History of European Growth," Chapters, in: Gail M. Hoyt & KimMarie McGoldrick (ed.), International Handbook on Teaching and Learning Economics, chapter 51, Edward Elgar Publishing.
    9. Bonfatti, Roberto & O'Rourke, Kevin Hjortshøj, 2014. "Growth, Import Dependence and War," CEPR Discussion Papers 10073, C.E.P.R. Discussion Papers.
    10. Leticia Arroyo Abad & Nuno Palma, 2020. "The Fruits of El Dorado: The Global Impact of American Precious Metals," Economics Discussion Paper Series 2003, Economics, The University of Manchester, revised May 2021.
    11. Gino Gancia & Giacomo A M Ponzetto & Jaume Ventura, 2022. "Globalization and Political Structure," Journal of the European Economic Association, European Economic Association, vol. 20(3), pages 1276-1310.
    12. Prados de la Escosura, Leandro & Rodríguez-Caballero, C. Vladimir, 2022. "War, pandemics, and modern economic growth in Europe," Explorations in Economic History, Elsevier, vol. 86(C).
    13. Raúl Serrano & Vicente Pinilla, 2014. "New directions of trade for the agri-food industry: a disaggregated approach for different income countries, 1963–2000," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 23(1), pages 1-22, December.
    14. Sascha O Becker & Thiemo Fetzer & Dennis Novy, 2017. "Who voted for Brexit? A comprehensive district-level analysis," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 32(92), pages 601-650.
    15. Alfred Reckendrees, 2015. "Weimar Germany: The first open access order that failed?," Constitutional Political Economy, Springer, vol. 26(1), pages 38-60, March.
    16. Giovanni Federico & Antonio Tena-Junguito, 2017. "A tale of two globalizations: gains from trade and openness 1800–2010," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 153(3), pages 601-626, August.
    17. Nicholas Crafts & Peter Fearon, 2010. "Lessons from the 1930s Great Depression," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 26(3), pages 285-317, Autumn.
    18. Gregory Clark & Kevin Hjortsh�j O'Rourke & Alan M. Taylor, 2014. "The growing dependence of Britain on trade during the Industrial Revolution," Scandinavian Economic History Review, Taylor & Francis Journals, vol. 62(2), pages 109-136, June.
    19. Garfinkel, Michelle R. & Skaperdas, Stergios & Syropoulos, Constantinos, 2015. "Trade and insecure resources," Journal of International Economics, Elsevier, vol. 95(1), pages 98-114.
    20. Bosker, Maarten & Buringh, Eltjo, 2017. "City seeds: Geography and the origins of the European city system," Journal of Urban Economics, Elsevier, vol. 98(C), pages 139-157.

    More about this item

    Keywords

    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:110:y:2011:i:2:p:93-96. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.