Financial Repression and Bond Market Efficiency: the Case of Italy during World War II

Kim Oosterlinck and Jeremy Simon

No 15-001, Working Papers CEB from ULB -- Universite Libre de Bruxelles

Abstract: This paper investigates the informational efficiency of bond markets when investments are constrained by financial repression. To assess informational efficiency, this paper performs weak-form efficiency tests on the most liquid bond traded in Italy during the war. Surprisingly, the bond market is informationally efficient even in this repressed environment. In this regard, econometrical techniques aimed at signalling important historical events and the beliefs of contemporaries regarding the outcome of war may provide correct insights even in highly controlled markets.

Keywords: WWII; Bond Markets; Efficiency (search for similar items in EconPapers)
JEL-codes: N24 (search for similar items in EconPapers)
Pages: 28 p.
Date: 2015-01-07
New Economics Papers: this item is included in nep-eff and nep-his
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