| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w10961 |
| 来源ID | Working Paper 10961 |
| Covered Interest Arbitrage: Then vs. Now | |
| Ted Juhl; William Miles; Marc D. Weidenmier | |
| 发表日期 | 2004-12-13 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | We introduce a new weekly database of spot and forward US-UK exchange rates as well as interest rates to examine the integration of forward exchange markets during the classical gold standard period (1880-1914). Using threshold autoregressions (TAR), we estimate the transactions cost band of covered interest differentials (CIDs) and compare our results to studies of more recent periods. Our findings indicate that CIDs for the US-UK rate were generally larger during the classical gold standard than any period since. We argue that slower information and communications technology during the gold standard period led to fewer short-term financial flows, higher transactions costs, and larger CIDs. |
| 主题 | International Economics ; International Finance ; History ; Financial History |
| URL | https://www.nber.org/papers/w10961 |
| 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/568596 |
| 推荐引用方式 GB/T 7714 | Ted Juhl,William Miles,Marc D. Weidenmier. Covered Interest Arbitrage: Then vs. Now. 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 | ||
| w10961.pdf（409KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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