| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w10583 |
| 来源ID | Working Paper 10583 |
| Measuring Market Integration: Foreign Exchange Arbitrage and the Gold Standard, 1879-1913 | |
| Eugene Canjels; Gauri Prakash-Canjels; Alan M. Taylor | |
| 发表日期 | 2004-06-28 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | History ; Macroeconomic History ; International Economics ; International Finance |
| URL | https://www.nber.org/papers/w10583 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568212 |
| 推荐引用方式 GB/T 7714 | Eugene Canjels,Gauri Prakash-Canjels,Alan M. Taylor. Measuring Market Integration: Foreign Exchange Arbitrage and the Gold Standard, 1879-1913. 2004. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w10583.pdf（395KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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