Measuring Market Integration: Foreign Exchange Arbitrage and the Gold Standard 1874-1913

Alan Taylor, Eugene Canjels and Gauri Prakash-Canjels

No 4492, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: A major question in the literature on the classical gold standard concerns the efficiency of international arbitrage. Authors have examined efficiency by looking at the spread of the gold points, gold point violations, the flow of gold, or by tests of various asset market criteria, including speculative efficiency and interest arbitrage. These studies have suffered from many limitations, both methodological and empirical. We offer a new methodology for measuring market integration based on nonlinear theoretical models and threshold autoregressions. We also compile a new, high-frequency series of continuous daily data from 1879 to 1913. We can derive reasonable econometric estimates of the implied gold points and price dynamics. The changes in these measures over time provide an insight into the evolution of market integration.

Keywords: market integration; Gold points; Dollar; Sterling (search for similar items in EconPapers)
JEL-codes: F30 N10 (search for similar items in EconPapers)
Date: 2004-08
New Economics Papers: this item is included in nep-fin and nep-his
References: Add references at CitEc
Citations: View citations in EconPapers (40)

Downloads: (external link)
https://cepr.org/publications/DP4492 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

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:cpr:ceprdp:4492

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP4492

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().