The international contagion of short-run interest rates during the Great Depression

Samuel Maveyraud

Cahiers du GREThA (2007-2019) from Groupe de Recherche en Economie Théorique et Appliquée (GREThA)

Abstract: The aim of this article 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; Gold Exchange standard; interest rates (search for similar items in EconPapers)
JEL-codes: E4 N12 N14 N22 N24 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-his and nep-mac
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Citations: View citations in EconPapers (5)

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Related works:
Chapter: The International Contagion of Short-Run Interest Rates During the Great Depression (2018)
Working Paper: The International Contagion of Short-Run Interest Rates During the Great Depression (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:grt:wpegrt:2015-11

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