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The International Contagion of Short-Run Interest Rates During the Great Depression

In: Coping with Financial Crises

Author

Listed:
  • Samuel Maveyraud

    (University of Bordeaux, GREThA College)

  • Antoine Parent

    (Institut d’Etudes Politiques de Lyon, Sciences Po Lyon)

Abstract

The aim of this chapter is to clearly identify the mechanisms of the money market spillovers between the United States, the United Kingdom and France during the interwar period. To describe these mechanisms in detail, a BEKK model, in which we introduce a structural break, is adopted. Our analysis sheds new light on key historical issues: Was the crisis imported into the US? Did France set off interest rate volatility in the rest of the world during the thirties? Does the propagation process of interest rate volatility corroborate the “Golden Fetters” hypothesis?

Suggested Citation

  • Samuel Maveyraud & Antoine Parent, 2018. "The International Contagion of Short-Run Interest Rates During the Great Depression," Studies in Economic History, in: Hugh Rockoff & Isao Suto (ed.), Coping with Financial Crises, chapter 0, pages 17-46, Springer.
    • Handle: RePEc:spr:stechp:978-981-10-6196-7_2
    DOI: 10.1007/978-981-10-6196-7_2
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    Cited by:

    1. is not listed on IDEAS
    2. Antoine Parent & Cécile Bastidon & Michael Bordo & Marc Weidenmier, 2019. "Towards an unstable hook : the evolution of stock market integration since 1913," Sciences Po publications 26166, Sciences Po.
    3. Neha Seth & Monica Sighania, 2017. "Financial market contagion: selective review of reviews," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 9(4), pages 391-408, November.
    4. Raphaël Hekimian & David Le Bris, 2016. "US Crashes of 2008 and 1929 How did the French market react? An empirical study," Working Papers hal-04141589, HAL.
    5. Antoine Parent & Cécile Bastidon & Michael Bordo & Marc Weidenmier, 2019. "Towards an unstable hook : the evolution of stock market integration since 1913," Sciences Po Economics Publications (main) hal-03403180, HAL.
    6. Raphael Hekimian & David Le Bris, 2016. "US Crashes of 2008 and 1929 How did the French market react? An empirical study," EconomiX Working Papers 2016-21, University of Paris Nanterre, EconomiX.

    More about this item

    Keywords

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    JEL classification:

    • N12 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - U.S.; Canada: 1913-
    • N14 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - Europe: 1913-
    • N22 - Economic History - - Financial Markets and Institutions - - - U.S.; Canada: 1913-
    • N24 - Economic History - - Financial Markets and Institutions - - - Europe: 1913-
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates

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