Interest Rate Risk and Monetary Union in the European Periphery: Lessons from the Gold Standard, 1880-1914

C. Garcia-Iglesias

Working Papers from European Institute - History

Abstract: I analyze time-varying risk premia in long-term government securities during the classical gold standard period 1880-1914. I employ a quasi-capital asset pricing model (CAPM) to analyze the time path of systematic risk for a cross section of six countries that adhered to the gold standard to varying degrees.

Keywords: MONETARY UNION; ECONOMIC HISTORY; RISK; INTEREST RATE (search for similar items in EconPapers)
JEL-codes: E43 F33 N13 (search for similar items in EconPapers)
Pages: 32 pages
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:fth:eurohi:99/5

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