Sovereign Risk in the Classical Gold Standard Era
Date
2009
Authors
Gai, Prasanna
Cameron, Gavin F
Tan, Kang Yong
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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.
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Keywords
Keywords: assessment method; econometrics; estimation method; financial system; investment; macroeconomics
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Source
The Economic Record
Type
Journal article
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Restricted until
2037-12-31
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