Variable | Unit | Description |
---|---|---|
\(S_{t}^{*}\) | Continental currency per £ (in logarithms) | Exchange rate in terms of the price of a sight-bill payable in sterling as traded in continental currency. In brief, these bills were called “sight-bills on London” and the corresponding exchange rate was called the “sight rate in a given continental city on London”. The data are available for sight-rates in Paris, Amsterdam, Berlin, and Brussels. For the case of Paris and Brussels, the cheque rate has been used for \(S_{t}^{*}\). For the case of Brussels, the data are only partly available before 1902. |
L t | Continental currency per £ (in logarithms) | Exchange rate inherent in a long-bill of exchange payable in continental currency as traded in sterling. The term to maturity is three months. In brief, these bills were called “long-bills in London” and the corresponding exchange rate was called the “long-rate in London on a given continental city”. For the case of Belgium, the long-rate was reported on Antwerp instead of Brussels. |
i t | Per cent (annualised) | Interest on a short-term investment in the London money market. The interest arises from discounting a sterling bill of exchange in the open money market. |
\( i_{t}^{*}\) | Per cent (annualised) | Interest on a short-term investment in the continental money market. The interest arises from discounting a bill of exchange denominated in local currency in the local open money market. |