The Restoration of the Gold Standard after the US Civil War: A Volatility Analysis

Max Meulemann, Martin Uebele and Bernd Wilfling

No 2011, CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster

Abstract: Using a Markov-switching GARCH model this paper analyzes the volatility evolution of the greenback's price in gold from after the Civil War until the return to gold convertibility in 1879. The econometric inference associated with our methodology indicates a switch to a regime of low volatility roughly seven months before the actual resumption. Since this empirical finding is most likely to be reconciled with a change in market expectations, we conclude that expectations affected the exchange rate more than fundamentals. Our analysis also demonstrates that regime switches in the volatility of exchange rates may refl ect historical events that remain undiscovered otherwise.

Keywords: Monetary history; 19th century; USA; greenback; Markov-switching GARCH models (search for similar items in EconPapers)
JEL-codes: A (search for similar items in EconPapers)
Pages: 33 pages
Date: 2011-02
New Economics Papers: this item is included in nep-his, nep-ifn and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.wiwi.uni-muenster.de/cqe/sites/cqe/fil ... r/CQE_WP_20_2011.pdf Version of February, 2011 (application/pdf)

Related works:
Journal Article: The restoration of the gold standard after the US Civil War: A volatility analysis (2014)
Working Paper: The Restoration of the Gold Standard after the US Civil War: A Volatility Analysis (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cqe:wpaper:2011

Access Statistics for this paper

More papers in CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster Am Stadtgraben 9, 48143 Münster, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Susanne Deckwitz ().