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The international contagion of short-run interest rates during the Great Depression

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  • MAVEYRAUD Samuel

Abstract

The aim of this article is to clearly identify the mechanisms of the money market spillovers between the United States, the United Kingdom and France during the interwar period. To describe these mechanisms in detail, a BEKK model, in which we introduce a structural break, is adopted. Our analysis sheds new light on key historical issues: Was the crisis imported into the US? Did France set off interest rate volatility in the rest of the world during the thirties? Does the propagation process of interest rate volatility corroborate the “Golden Fetters” hypothesis?

Suggested Citation

  • MAVEYRAUD Samuel, 2015. "The international contagion of short-run interest rates during the Great Depression," Cahiers du GREThA (2007-2019) 2015-11, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
    • Handle: RePEc:grt:wpegrt:2015-11
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    Cited by:

    1. Raphaël Hekimian & David Le Bris, 2016. "US Crashes of 2008 and 1929 How did the French market react? An empirical study," Working Papers hal-04141589, HAL.
    2. Antoine Parent & Cécile Bastidon & Michael Bordo & Marc Weidenmier, 2019. "Towards an unstable hook : the evolution of stock market integration since 1913," Sciences Po publications 26166, Sciences Po.
    3. Cécile Bastidon & Michael Bordo & Antoine Parent & Marc Weidenmier, 2019. "Towards an Unstable Hook: The Evolution of Stock Market Integration Since 1913," Working Papers halshs-03009753, HAL.
    4. repec:hal:spmain:info:hdl:2441/1g62nsnv8d9lcrkbi2s8iikjat is not listed on IDEAS
    5. Raphael Hekimian & David Le Bris, 2016. "US Crashes of 2008 and 1929 How did the French market react? An empirical study," EconomiX Working Papers 2016-21, University of Paris Nanterre, EconomiX.
    6. repec:hal:spmain:info:hdl:2441/4i5altstgb8m7r2ltn240ldvb8 is not listed on IDEAS
    7. Neha Seth & Monica Sighania, 2017. "Financial market contagion: selective review of reviews," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 9(4), pages 391-408, November.

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    More about this item

    Keywords

    Contagion; Gold Exchange standard; interest rates;
    All these keywords.

    JEL classification:

    • N12 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - U.S.; Canada: 1913-
    • N14 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - Europe: 1913-
    • N22 - Economic History - - Financial Markets and Institutions - - - U.S.; Canada: 1913-
    • N24 - Economic History - - Financial Markets and Institutions - - - Europe: 1913-
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates

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