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Sovereign Risk in the Classical Gold Standard Era

Gai, Prasanna; Cameron, Gavin F; Tan, Kang Yong


This paper reassesses the determinants of sovereign bond yields during the classical gold standard period (1872-1913) using the pooled mean group methodology. We find that, rather than lowering risk premia directly, membership of the gold standard hastened the convergence of sovereign bond spreads to their long-run equilibrium levels. Our results also suggest that investors looked beyond the gold standard to country-specific fundamental factors when pricing and differentiating sovereign risk.

CollectionsANU Research Publications
Date published: 2009
Type: Journal article
Source: The Economic Record
DOI: 10.1111/j.1475-4932.2009.00569.x


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