NDLI: Measuring market integration foreign exchange arbitrage and the gold standard, 1879-1913

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Measuring market integration foreign exchange arbitrage and the gold standard, 1879-1913

Content Provider	Library of Congress - Books/Printed Material
Author	Canjels, Eugene. Prakash-Canjels, Gauri
Temporal Coverage	2004
Copyright Year	2004
Abstract	"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"--National Bureau of Economic Research web site.
Language	English
Publisher	National Bureau of Economic Research
Publisher Place	Cambridge, MA
Part of Series	Catalog
Requires	HTML5 supported browser
Access Restriction	Open
Subject Keyword	Arbitrage Foreign Exchange Gold Standard International Finance
Subject Domain (in LCSH)	Foreign exchange
Subject Domain (in LCSH)	Gold standard
Subject Domain (in LCSH)	Arbitrage
Subject Domain (in LCSH)	International finance
Subject Domain (in LCC)	HB1
Content Type	Text
Resource Type	Book

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