The Restoration of the Gold Standard after the US Civil War: A Volatility Analysis

Meulemann Max, Uebele Martin, Wilfling Bernd


Zusammenfassung
Using a Markov-switching GARCH model this paper analyzes the volatility evolution of the greenback's price in gold from after the Civil War until the return to gold convertibility in 1879. The econometric inference associated with our methodology indicates a switch to a regime of low volatility roughly seven months before the actual resumption. Since this empirical finding is most likely to be reconciled with a change in market expectations, we conclude that expectations affected the exchange rate more than fundamentals. Our analysis also demonstrates that regime switches in the volatility of exchange rates may reflect historical events that remain undiscovered otherwise.

Schlüsselwörter
Exchange-rate dynamics; uncovered interest parity; interest-rate options; switching exchange-rate regimes



Publikationstyp
Arbeitspapier / Working Paper

Begutachtet
Nein

Publikationsstatus
Veröffentlicht

Jahr
2011

Fachzeitschrift
CQE Working Papers 20/2011

Band
20/2011

Reihe
CQE Working Paper

Verlag
Center for Quantitative Economics (CQE), University of Muenster

Ort
University of Muenster

Sprache
Englisch

Gesamter Text