In:
Economica, Wiley, Vol. 73, No. 290 ( 2006-05), p. 341-352
Abstract:
We introduce a new weekly database of spot and forward US–UK exchange rates and interest rates to examine the integration of forward exchange markets during the classical Gold Standard period (1880–1914). Using threshold autoregressions (TARs), we estimate the transaction cost band of covered interest differentials (CIDs) and compare our results with studies of more recent periods. We find that CIDs for the US–UK rate were generally largest during the classical Gold Standard. We argue that slower information and communications technology during the Gold Standard period led to fewer short‐term financial flows, higher transaction costs and larger CIDs.
Type of Medium:
Online Resource
ISSN:
0013-0427
,
1468-0335
DOI:
10.1111/ecca.2006.73.issue-290
DOI:
10.1111/j.1468-0335.2006.00500.x
Language:
English
Publisher:
Wiley
Publication Date:
2006
detail.hit.zdb_id:
1800-4
detail.hit.zdb_id:
1473760-7