The International Contagion of Short-Run Interest Rates During the Great Depression

Samuel Maveyraud and Antoine Parent

Chapter Chapter 2 in Coping with Financial Crises, 2018, pp 17-46 from Springer

Abstract: Abstract The aim of this chapter is to clearly identify the mechanisms of the money market spillovers between the United States, the United Kingdom and France during the interwar period. To describe these mechanisms in detail, a BEKK model, in which we introduce a structural break, is adopted. Our analysis sheds new light on key historical issues: Was the crisis imported into the US? Did France set off interest rate volatility in the rest of the world during the thirties? Does the propagation process of interest rate volatility corroborate the “Golden Fetters” hypothesis?

Keywords: Contagion; Financial crisis; Gold exchange standard; Interest rates; Interwar period; GARCH models; N12; N14; N22; N24; E4 (search for similar items in EconPapers)
Date: 2018
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Working Paper: The International Contagion of Short-Run Interest Rates During the Great Depression (2017)
Working Paper: The international contagion of short-run interest rates during the Great Depression (2015)
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DOI: 10.1007/978-981-10-6196-7_2

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