EconPapers    
Economics at your fingertips  
 

The pound sterling and the franc Poincare in the 1920s: long-run relationships, speculation and temporal stability

Dimitris Georgoutsos and Georgios Kouretas ()

Applied Financial Economics, 2000, vol. 10, issue 5, 471-482

Abstract: This study examines the proposition that destabilizing speculation caused the overvaluation of the pound sterling in mid-1924 and the depreciation of the franc Poincare in mid-1925, by testing for the existence of long-run purchasing power parity in the 1920s for the dollar/sterling, franc/sterling and franc/dollar exchange rates. Using the Johansen-Juselius multivariate cointegration technique, evidence was found in favour of PPP in all the cases. However, using Hansen-Johansen (1993) tests for parameter constancy in cointegrated VAR models, it was found that the results for the dollar/sterling case are very fragile, and this may be interpreted as evidence that destabilizing speculation caused the overvaluation of sterling, while the results for the franc Poincare are rather robust, indicating that it was not deliberately undervalued.

Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/096031000416343 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: THE POUND STERLING AND FRANC POINCARE IN THE 1920S: LONG-RUN RELATIONSHIPS, SPECULATION AND TEMPORAL STABILITY
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:taf:apfiec:v:10:y:2000:i:5:p:471-482

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/096031000416343

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2022-09-29
Handle: RePEc:taf:apfiec:v:10:y:2000:i:5:p:471-482