
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

 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 (NeweyWest) standard errors with a fixed bandwidth of 13 leads and lags. The null hypothesis that the interest parity (via longbill 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