Interest Rate Risk and Monetary Union in the European Periphery: Lessons from the Gold Standard, 1880-1914
I analyze time-varying risk premia in long-term government securities during the classical gold standard period 1880-1914. I employ a quasi-capital asset pricing model (CAPM) to analyze the time path of systematic risk for a cross section of six countries that adhered to the gold standard to varying degrees.
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|Date of creation:||1999|
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