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Journal ArticleDOI

The inter–war gold exchange standard: Credibility and monetary independence

01 Feb 2003-Journal of International Money and Finance (Elsevier BV)-Vol. 22, Iss: 1, pp 1-32
TL;DR: In this paper, the authors analyzed the operation of the interwar gold exchange standard to see if the evident credibility of the system conferred on participating central banks the ability to pursue independent monetary policies.
About: This article is published in Journal of International Money and Finance.The article was published on 2003-02-01 and is currently open access. It has received 29 citations till now. The article focuses on the topics: Interest rate parity & Covered interest arbitrage.
Citations
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Journal ArticleDOI
TL;DR: This article showed that industrial metals, especially copper, tend to outperform gold and other precious metals as hedging vehicles and safe haven assets against losses in sovereign bonds and that copper is the best performing metal in the period immediately after negative bond price shocks.
Abstract: It is a commonly held view that gold protects investors’ wealth in the event of negative economic conditions. In this study, we test whether other metals offer similar or better investment opportunities in periods of market turmoil. Using a sample of 13 sovereign bonds, we show that other precious metals, palladium in particular, offer investors greater compensation for their bond market losses than gold. We also find that industrial metals, especially copper, tend to outperform gold and other precious metals as hedging vehicles and safe haven assets against losses in sovereign bonds. However, the outcome of the hedge and safe haven properties is not always consistent across the different bonds. Finally, our analysis suggests that copper is the best performing metal in the period immediately after negative bond price shocks.

113 citations


Cites background from "The inter–war gold exchange standar..."

  • ...There is already strong evidence that gold protects investors’ wealth during times of uncertainty and instability (Wallace and Choudhry, 1995; Davidson et al., 2003; Bordo and MacDonald, 2003; Baur and Lucey, 2010 and Baur, 2013)....

    [...]

  • ...There is already strong evidence that gold protects investors’ wealth during times of uncertainty and instability (Wallace and Choudhry, 1995; Davidson et al., 2003; Bordo and MacDonald, 2003; Baur and Lucey, 2010 and Baur, 2013)....

    [...]

Journal ArticleDOI
TL;DR: This article proposed a discrete time duration model (using a panel data set of 24 countries for 1928-1936) to analyze how economic and political indicators affected a country's term on the gold standard.
Abstract: Economic historians have devoted enormous attention to the collapse of the interwar gold standard. This article proposes a discrete time duration model (using a panel data set of 24 countries for 1928–1936) to analyze how economic and political indicators affected a country's term on the gold standard. High per capita income, international creditor status, and prior hyperinflation increased the probability of continuation. In contrast, democratic regimes left early. Unemployment, sterling group membership, higher inflation, and the experience of banking crises reduced the time a country remained on the gold standard. This study also predicts sample countries' survival probabilities.

76 citations

MonographDOI
01 Jan 2013

64 citations

Dissertation
15 Jan 2016
TL;DR: In this paper, the authors discuss the influence of the endettement public on the development of the French economy and its effect on the country's finances, in particular on the adoption of the Endettement Public.
Abstract: Pour comprendre les enjeux li´es `a l’endettement public dans la cr´edibilit´e des accords mon´etairesdans le cas de l’entre-deux-guerres, nous ´etudierons l’influence de l’endettement public sur l’´etalon-or,de sa fondation dans la seconde moiti´e du XIXe si`ecle, `a son abandon au cours de la grande d´epression.La qualit´e des finances publiques, en particulier l’endettement public, fut d´eterminante dans la capacit´ed’une nation `a adh´erer `a cet accord mon´etaire. L’endettement public joua aussi un rˆole d´ecisif dans lafin de ces syst`emes mon´etaires, `a l’issue de la Grande Guerre et lors de la grande d´epression. Dans unsecond temps, notre d´emarche consistera `a comprendre les m´ecanismes qui conduisirent l’endettementpublic `a ˆetre en partie responsable de la fin de l’´etalon de change-or et de l’´emergence de nouveauxblocs mon´etaires dans les ann´ees trente. Face `a la grande d´epression, les modalit´es d’organisation et defonctionnement de cet accord mon´etaire, rendirent impossible son maintien. Si les variables ´economiqueset politiques furent d´eterminantes dans son abandon, celles d’endettement public jou`erent aussi. Apr`esavoir d´ecrit les modalit´es de sortie de l’´etalon de change-or, nous montrerons les m´ecanismes th´eoriquesqui lient les crises mon´etaires et les crises d’endettement et les appliquerons `a la grande d´epression. Nous´etudierons en particulier le cas de la France. Nous montrerons `a l’aide d’un mod`ele de dur´ee, l’influencede la dette publique dans le maintien des parit´es-or pendant la crise. Enfin, nous verrons comment denouveaux blocs mon´etaires se form`erent.

49 citations

Posted Content
TL;DR: In this paper, the authors provide empirical measures of central bank credibility and augment these with historical narratives from eleven countries, focusing on measures of inflation expectations, the mean reversion properties of inflation, and indicators of exchange rate risk.
Abstract: In this paper we provide empirical measures of central bank credibility and augment these with historical narratives from eleven countries. To the extent we are able to apply reliable institutional information we can also indirectly assess their role in influencing the credibility of the monetary authority. We focus on measures of inflation expectations, the mean reversion properties of inflation, and indicators of exchange rate risk. In addition we place some emphasis on whether credibility is particularly vulnerable during financial crises, whether its evolution is a function of the type of crisis or its kind (i.e., currency, banking, sovereign debt crises). We find credibility changes over time are frequent and can be significant. Nevertheless, no robust empirical connection between the size of an economic shock (e.g., the Great Depression) and loss of credibility is found. Second, the frequency with which the world economy experiences economic and financial crises, institutional factors (i.e., the quality of governance) plays an important role in preventing a loss of credibility. Third, credibility shocks are dependent on the type of monetary policy regime in place. Finally, credibility is most affected by whether the shock can be associated with policy errors.Institutional subscribers to the NBER working paper series, and residents of developing countries may download this paper without additional charge at www.nber.org.

44 citations

References
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Posted Content
TL;DR: In this paper, the authors proposed a cointegrated model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[subt] and the "spread" S [sub t]= Y[Sub t] -[theta sub t] will be stationary for some [theta] whether or not y(sub t) must be differenced to induce stationarity.
Abstract: In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the "spread" S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y[sub t]must be differenced to induce stationarity. Thus, Y[sub t] and y[sub t] are cointegrated. The model implies that S[sub t] is proportional to the optimal forecast of [delta Y{sub t+1}] and also to the optimal forecast of S*[sub t], the present value of future [delta y{sub t}]. We use vector autoregressive methods, and recent literature on cointegrated processes, to test the model. When Y[sub t] is the long-term interest rate and y[sub t] the short-term interest rate, we find in postwar U.S. data that S[sub t] behaves much like an optimal forecast of S*[sub t] even though as earlier research has shown it is negatively correlated with [delta Y{sub t+1}]. When Y[sub t] is a real stock price index and y[sub t] the corresponding real dividend, using annual U.S. data for 1871-1986 we obtain less encouraging results for the model, al-though the results are sensitive to the assumed discount rate.

1,983 citations

Journal ArticleDOI
TL;DR: In this paper, the authors proposed a cointegrated model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[subt] and the "spread" S [sub t]= Y[Sub t] -[theta sub t] will be stationary for some [theta] whether or not y(sub t) must be differenced to induce stationarity.
Abstract: In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the "spread" S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y[sub t]must be differenced to induce stationarity. Thus, Y[sub t] and y[sub t] are cointegrated. The model implies that S[sub t] is proportional to the optimal forecast of [delta Y{sub t+1}] and also to the optimal forecast of S*[sub t], the present value of future [delta y{sub t}]. We use vector autoregressive methods, and recent literature on cointegrated processes, to test the model. When Y[sub t] is the long-term interest rate and y[sub t] the short-term interest rate, we find in postwar U.S. data that S[sub t] behaves much like an optimal forecast of S*[sub t] even though as earlier research has shown it is negatively correlated with [delta Y{sub t+1}]. When Y[sub t] is a real stock price index and y[sub t] the corresponding real dividend, using annual U.S. data for 1871-1986 we obtain less encouraging results for the model, al-though the results are sensitive to the assumed discount rate.

1,788 citations

Book
01 Jun 1990
TL;DR: In this article, the authors present a list of published and unpublished items in the history of the edition of this book. But they do not specify the categories of published material and the list is not exhaustive.
Abstract: General introduction Omissions Bibliography Foreword 1. Books 2. Contributions to books 3. Pamphlets 4. Articles 5. Reviews 6. Official publications 7. Previously published letters 8. Obituary notes 9. Lectures, speeches, broadcasts 10. Drafts/fragments 11. Previously unpublished letters 12. Memoranda 13. Unclassified published and unpublished items Chronological list of published material Corrections to the edition General index.

1,138 citations

Book
01 Jan 1971
TL;DR: A Treatise on Money, completed in 1930, was the outcome of six years of intensive work and argument with D. H. Robertson, R. G. Hawtrey and others as mentioned in this paper.
Abstract: A Treatise on Money, completed in 1930, was the outcome of six years of intensive work and argument with D. H. Robertson, R. G. Hawtrey and others. As in the Tract on Monetary Reform, the central concerns of the Treatise are the causes and consequences of changes in the value of money and the means of controlling such changes to increase well-being. The analysis is, however, considerably more complex and the applied statistical work much more elaborate. The Treatise has long been of interest amongst economists, as a precursor of the General Theory, as an important discussion of the mechanics of inflationary and deflationary processes and as an important statement of the problems of national autonomy in the international economy. This edition provides a new edition of the original, corrected on the basis of Keynes's correspondence with other economists and translators. It also provides the prefaces to foreign editions.

1,081 citations

Journal ArticleDOI
TL;DR: In this paper, the authors describe methods for conveniently formulating and estimating dynamic linear econometric models under the hypothesis of rational expectations and derive an econometrically convenient formula for the cross-equation rational expectations restrictions.

908 citations