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Table 3 The effect of the gold-points

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

  Paris Amsterdam Berlin Brussels Paris Amsterdam Berlin Brussels
Sample Observations inside gold points Observations outside gold points
  (1) (2) (3) (4) (5) (6) (7) (8)
London investment demand for continental bills of exchange
Intercept (\(\widehat {\alpha }\)) 0.01 0.01 0.02 0.01 0.01 0.01 −0.002 0.02
  (0.002) (0.002) (0.002) (0.004) (0.01) (0.005) (0.01) (0.01)
i t (\(\widehat {\beta }\)) 0.58 0.73 0.77 0.75 0.81 0.69 1.34 0.53
  (0.05) (0.07) (0.06) (0.12) (0.17) (0.16) (0.11) (0.16)
Reject (β=1) *** *** *** **   * *** ***
R 2 0.32 0.33 0.36 0.39 0.24 0.23 0.80 0.18
N 1510 1559 1715 582 249 177 43 263
Continental investment demand for London bills of exchange
Intercept (\(\widehat {\alpha }\)) 0.003 0.01 0.01 0.0002 0.004 0.01 0.02 0.001
  (0.0003) (0.001) (0.001) (0.001) (0.001) (0.002) (0.004) (0.002)
i\(_{t}^{*}\) (\(\widehat {\beta }\)) 1.02 0.98 0.96 1.07 0.97 0.95 0.71 1.03
  (0.02) (0.02) (0.02) (0.02) (0.06) (0.09) (0.09) (0.05)
Reject (β=1)    ** ***    ***  
R 2 0.87 0.87 0.88 0.90 0.48 0.62 0.73 0.87
N 1520 1581 1728 615 252 178 43 288
  1. Notes: The top and bottom panel of this table report estimates of, respectively, Eq. (4) with dependent variable \(l_{t}-s_{t+m}^{*}\) and Eq. (3) with dependent variable \(l_{t}- s_{t}^{*}\) (expressed as annualised value). The maturity m equals 3-months, that is 90 days or 90 days/7 days per week ≈ 13 weeks. Estimation is by OLS with heteroscedasticity and autocorrelation robust (Newey-West) standard errors with a fixed bandwidth of 13 leads and lags. According to Section “Exchange rates during the gold standard”, the gold-points of \(S_{t}^{*}\) are 25.12 Fcs./ $ and 25.32 Fcs./ $ for France and Belgium, 12.05 Fl./ $ and 12.15 Fl./ $ for the Netherlands, as well as 20.32 M/ $ and 20.53 M/ $ for Germany. The null hypothesis that the interest parity (via long-bill transactions) holds implies that β=1. N denotes the number of observations. Significant deviations from this are indicated by * at the 10% level; ** at the 5% level, and *** at the 1% level