Sovereign Risk in the Classical Gold Standard Era

Prasanna Gai, Gavin F Cameron, Kang Yong Tan

    Research output: Contribution to journalArticle

    Abstract

    This paper reassesses the determinants of sovereign bond yields during the classical gold standard period (1872-1913) using the pooled mean group methodology. We find that, rather than lowering risk premia directly, membership of the gold standard hastened the convergence of sovereign bond spreads to their long-run equilibrium levels. Our results also suggest that investors looked beyond the gold standard to country-specific fundamental factors when pricing and differentiating sovereign risk.
    Original languageEnglish
    Pages (from-to)401-416
    JournalEconomic Record
    Volume85
    Issue number271
    DOIs
    Publication statusPublished - 2009

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