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Table 2 Results: Interest parity via long-bills of exchange

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

  Continental investment demand for London bills of exchange   London investment demand for continental bills of exchange
  Paris Amsterdam Berlin Brussels   London on
  on London   Paris Amsterdam Berlin Brussels
  (1) (2) (3) (4)   (5) (6) (7) (8)
Intercept \(\left (\widehat {\alpha }\right)\) 0.003 0.01 0.01 0.001   0.01 0.01 0.01 0.01
  (0.0004) (0.001) (0.001) (0.001)   (0.002) (0.002) (0.002) (0.003)
i \(_{t}^{*} \left (\widehat {\beta }\right)\) 1.01 0.97 0.96 1.05      
  (0.02) (0.02) (0.02) (0.02)      
i \(_{t} \left (\widehat {\beta }\right)\)       0.62 0.75 0.81 0.75
       (0.05) (0.07) (0.06) (0.09)
Reject (β=1)    ** ***   *** *** *** ***
R 2 0.81 0.84 0.87 0.90   0.30 0.33 0.39 0.37
N 1772 1759 1771 903   1759 1749 1759 890
  1. Notes: This table reports estimates of Eq. (3) with dependent variable \(l_{t}-s_{t}^{*}\) and (4) with dependent variable \(l_{t}-s_{t+m}^{*}\) (expressed as annualised value). Estimation is by OLS with heteroscedasticity and autocorrelation robust (Newey-West) standard errors with a fixed bandwidth of 13 leads and lags. The null hypothesis that the interest parity (via long-bill transactions) holds implies that β=1N the number of observations Significant deviations from this are indicated by ** at the 5% level, and *** at the 1% level