Measuring Market Integration: Foreign Exchange Arbitrage and the Gold Standard, 1879-1913
A major question in the literature on the classical gold standard concerns the efficiency of international arbitrage. Authors have examined efficiency by looking at the spread of the gold points, gold point violations, the flow of gold, or by tests of various asset market criteria, including speculative efficiency and interest arbitrage. These studies have suffered from many limitations, both methodological and empirical. We offer a new methodology for measuring market integration based on nonlinear theoretical models and threshold autoregressions. We also compile a new, high-frequency series of continuous daily data from 1879 to 1913. We can derive reasonable econometric estimates of the implied gold points and price dynamics. The changes in these measures over time provide an insight into the evolution of market integration.
|Date of creation:||Jun 2004|
|Publication status:||published as 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, 05.|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
Web page: http://www.nber.org
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Potter, Simon M, 1999.
" Nonlinear Time Series Modelling: An Introduction,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 13(5), pages 505-528, December.
- Eichengreen, Barry, 1990.
"Trends and Cycles in Foreign Lending,"
CEPR Discussion Papers
451, C.E.P.R. Discussion Papers.
- Eichengreen, Barry, 1990. "Trends and Cycles in Foreign Lending," Department of Economics, Working Paper Series qt82z7083m, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Barry Eichengreen., 1990. "Trends and Cycles in Foreign Lending," Economics Working Papers 90-146, University of California at Berkeley.
- Barry Eichengreen, 1990. "Trends and Cycles in Foreign Lending," NBER Working Papers 3411, National Bureau of Economic Research, Inc.
- Officer, Lawrence H., 1983. "Dollar-Sterling Mint Parity and Exchange Rates, 1791–1834," The Journal of Economic History, Cambridge University Press, vol. 43(03), pages 579-616, September.
- Hansen,B.E., 1999.
"Testing for linearity,"
7, Wisconsin Madison - Social Systems.
- Bai, Jushan, 1997.
"Estimating Multiple Breaks One at a Time,"
Cambridge University Press, vol. 13(03), pages 315-352, June.
- Oskar Morgenstern, 1959. "International Financial Transactions and Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number morg59-1.
- Robert B. Davies, 2002. "Hypothesis testing when a nuisance parameter is present only under the alternative: Linear model case," Biometrika, Biometrika Trust, vol. 89(2), pages 484-489, June.
- Obstfeld,Maurice & Taylor,Alan M., 2005.
"Global Capital Markets,"
Cambridge University Press, number 9780521671798, December.
- Paul R. Krugman, 1991. "Target Zones and Exchange Rate Dynamics," The Quarterly Journal of Economics, Oxford University Press, vol. 106(3), pages 669-682.
- repec:cup:etheor:v:13:y:1997:i:3:p:315-52 is not listed on IDEAS
- Kapetanios, G., 1999. "Model Selection in Threshold Models," Cambridge Working Papers in Economics 9906, Faculty of Economics, University of Cambridge.
When requesting a correction, please mention this item's handle: RePEc:nbr:nberwo:10583. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.