TY  - JOUR
AU  - Canjels,Eugene
AU  - Prakash-Canjels,Gauri
AU  - Taylor,Alan M.
TI  - Measuring Market Integration: Foreign Exchange Arbitrage and the Gold Standard, 1879-1913
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 10583
PY  - 2004
Y2  - June 2004
UR  - http://www.nber.org/papers/w10583
L1  - http://www.nber.org/papers/w10583.pdf
N1  - Author contact info:
Alan M. Taylor
Department of Economics
University of Virginia
Monroe Hall
Charlottesville, VA 22903
Fax: (434) 982-2904
E-Mail: alan.m.taylor@virginia.edu
AB  - 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.
ER  -