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Table 1 Description of the data set

From: Interest-parity conditions during the era of the classical gold standard (1880–1914)—evidence from the investment demand for bills of exchange in Europe

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.
  1. Variables refer to transactions between London and four continental financial centres (Paris, Amsterdam, Berlin, Brussels) between 1880 and 1914. The data have a weekly frequency Source of the data: Neal-Weidenmier Gold Standard Database, Neal and Weidenmier (2003)