Sovereign Risk in the Classical Gold Standard Era

Date

2009

Authors

Gai, Prasanna
Cameron, Gavin F
Tan, Kang Yong

Journal Title

Journal ISSN

Volume Title

Publisher

Blackwell Publishing Ltd

Abstract

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.

Description

Keywords

Keywords: assessment method; econometrics; estimation method; financial system; investment; macroeconomics

Citation

Source

The Economic Record

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

Restricted until

2037-12-31