The World's First Global Safe Asset: British Public Debt, 1718-1913

Patricia Gomez-Gonzalez and Gabriel Mathy
Additional contact information
Patricia Gomez-Gonzalez: Fordham University, Department of Economics
Gabriel Mathy: American University

Fordham Economics Discussion Paper Series from Fordham University, Department of Economics

Abstract: This paper assesses whether the British public debt featured a convenience yield during the Classical Gold Standard (1718-1913), as the US does in modern times. Our em- pirical results support this thesis. Increases in the British debt-to-GDP ratio decrease British public debt’s convenience yield between 8 and 20 basis points, qualitatively sim- ilar to the behavior of US public debt yields post-1926. Interestingly, the relationship between US yields and US public debt during the Classical Gold Standard counters previous findings for modern US times. International public debt yield spreads between other Gold Standard core countries and Britain were consistently positive and averaged 55 basis points, even though currency and sovereign risk were negligible at that time for the countries chosen.

Keywords: Convenience yield; Safe asset; Liquidity; Gold Standard; Core countries (search for similar items in EconPapers)
JEL-codes: E42 G12 G15 H63 N21 N23 (search for similar items in EconPapers)
Date: 2024
New Economics Papers: this item is included in nep-fdg, nep-his, nep-ifn and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://archive.fordham.edu/ECONOMICS_RESEARCH/PAP ... 01_gomezgonzalez.pdf (application/pdf)

Related works:
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:frd:wpaper:dp2024-01er:dp2024-01

Access Statistics for this paper

More papers in Fordham Economics Discussion Paper Series from Fordham University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Fordham Economics ().