English, Article, Journal or magazine article edition: Sovereign Risk in the Classical Gold Standard Era Gavin Cameron; Prasanna Gai; Kang Yong Tan

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Bookmark: http://trove.nla.gov.au/version/20561
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • SOVEREIGN RISK IN THE CLASSICAL GOLD STANDARD ERA
Author
  • Gavin Cameron
  • Prasanna Gai
  • Kang Yong Tan
Physical Description
  • preprint
Notes
  • This paper explores the determinants of sovereign bond yields during the classical gold standard period (1872-1913). Using the Pooled Mean Group methodology, we find that the main benefit of the gold standard can be seen as a short-hand device that enhanced a country`s reputation in international capital markets. By conveying important information to investors and enhancing the speed of adjustment of sovereign bond spreads to long-run equilibrium levels, the gold standard allowed country risk to be priced more effectively. In contrast to other studies, our results indicate that fundamental factors appear to be more important in determining a country`s creditworthiness in the long-run than the exchange rate regime per se.
  • Gold Standard, Sovereign Risk, Heterogeneous Dynamic Panels, Pooled Mean Group Estimator
  • RePEc:oxf:wpaper:258
  • This paper explores the determinants of sovereign bond yields during the classical gold standard period (1872-1913). Using the Pooled Mean Group methodology, we find that the main benefit of the gold standard was as a short-sighted device that enhanced a country's reputation in international capital markets. By conveying important information to investots and enhancing the speed of adjustment of sovereign bond spreads to long-run equilibrium levels, the gold standard allowed country risk to be priced more effectively. In contrast to other studies, our results suggest that fundamental factors were more important in determining a country's creditworthiness in the long-run than the exchange rate regime per se.
  • RePEc:acb:camaaa:2006-11
Language
  • English
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