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Measuring Market Integration: Foreign Exchange Arbitrage and the Gold Standard, 1879-1913 / Eugene Canjels, Gauri Prakash-Canjels, Alan M. Taylor.
- Format:
- Book
- Author/Creator:
- Canjels, Eugene.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w10583.
- NBER working paper series no. w10583
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Measuring Market Integration
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2004.
- Summary:
- 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.
- Notes:
- Print version record
- June 2004.
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