短期市場金利と裁定行動 : 再建金本位制下のロンドンとニューヨーク市場

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The purpose of this article is to examine arbitrage behaviour in the London and New York money markets under the 'reconstructed' gold standard (1925-1931), by taking into account an emerging forward exchange market in London. The analysis is conducted by applying non-stationary time series methods to previously unexploited weekly data for dollar-sterling spot and forward rates. It has been demonstrated that short-term interest rates in pre-World War I London and New York were closely correlated, suggesting that arbitrage was the key for the cross-Atlantic functioning of money markets under the classical gold standard. By the early 1920s, however, market situations changed with the emergence of the London forward exchange market. Our time series analysis for this period reveals: First, interest rate linkages disappeared. Second, however, any difference in the short-term interest rate between the two markets was being adjusted with arbitrage by investors through forward exchange transactions. This is a mechanism of covered interest parity, the working of which is well captured by our statistical analysis. All this suggests that the money markets under the interwar gold standard worked reasonably well. However, this was achieved in the late 1920s when forward market transactions were declining, suggesting that the causes of the breakdown of the interwar gold standard should be sought for in international circumstances surrounding the money markets, rather than the market mechanism itself, of the day.
社会経済史学会の論文
2005-09-25

短期市場金利と裁定行動 : 再建金本位制下のロンドンとニューヨーク市場

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