Measuring Market Integration: Foreign Exchange Arbitrage and the Gold Standard, 1879-1913
提出基于非线性阈值自回归的新方法，利用1879-1913年高频日度数据，估算金本位下的黄金点与价格动态，揭示市场一体化的演变过程。
A major question in the literature on the classical gold standard concerns the efficiency of international arbitrage. Authors have examined efficiency by looking at the spread of the gold points, gold point violations, the flow of gold, or by tests of various asset market criteria, including speculative efficiency and interest arbitrage. These studies have suffered from many limitations, both methodological and empirical. We offer a new methodology for measuring market integration based on nonlinear theoretical models and threshold autoregressions. We also compile a new, high-frequency series of continuous daily data from 1879 to 1913. We can derive reasonable econometric estimates of the implied gold points and price dynamics. The changes in these measures over time provide an insight into the evolution of market integration.