Sovereign Risk in the Classical Gold Standard Era
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.
|Collections||ANU Research Publications|
|Source:||The Economic Record|
|01_Gai_Sovereign_Risk_in_the_2009.pdf||428.13 kB||Adobe PDF||Request a copy|
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