Measuring market integration
Subtitle: foreign exchange arbitrage and the gold standard, 1879-1913
By: Eugene Canjels, Gauri Prakash-Canjels, Alan M. Taylor.
Contributors: Prakash-Canjels, Gauri.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10583; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10583.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Foreign exchange.; Gold standard.; Arbitrage.; International finance.
Description: "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"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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