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

Max Meulemann, Martin Uebele and Bernd Wilfling

Global COE Hi-Stat Discussion Paper Series from Institute of Economic Research, Hitotsubashi University

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 reflect historical events that remain undiscovered otherwise.

Keywords: US monetary history; 19th century; greenback; Markov-switching GARCH models (search for similar items in EconPapers)
JEL-codes: C32 E42 E52 N11 (search for similar items in EconPapers)
Date: 2012-11
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http://gcoe.ier.hit-u.ac.jp/research/discussion/2008/pdf/gd12-251.pdf (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 (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:hst:ghsdps:gd12-251

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