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

Samuel Maveyraud and Antoine Parent

Post-Print from HAL

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: GARCH models; Interwar period; Interest rates; Gold exchange standard; Contagion; Financial crisis (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Published in Isao Suto; Hugh Rockoff. Coping with financial crises. Some Lessons from Economic History, Springer, pp.17-46, 2017, Studies in Economic History, Online ISBN 978-981-10-6196-7 ; Print ISBN 978-981-10-6195-0. ⟨10.1007/978-981-10-6196-7_2⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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 (2015)
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:hal:journl:hal-02273091

DOI: 10.1007/978-981-10-6196-7_2

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().