Sorbonne University

Financial Factors Contribution to the " Bi-Metallic Snake " : A VAR Approach.

Email address: chrault@hotmail.com

Keywords: International monetary system, Bi-metallism, Financial arbitrage, Exchange rate formation, VAR modelling, Impulse analysis.

JEL Classifications: N10

Abstract:
Our research aims at measuring the influence of financial components on the Franc-Sterling exchange rate formation between 1850-1865 and their contribution to the stabilization and credibility of the bi-metallic regime. We elaborate a financial exchange rate indicator, called " implicit Franc-Sterling exchange rate " and use data from " Cours de la Banque et de la Bourse " for France and " Course of Exchange " for Great Britain. Testing a VAR approach according to statistical properties of time series of metallic points, financial and current exchange rates, we find that the implicit exchange rate has a crucial correcting influence on the franc-sterling exchange rate over the period. It emerges that financial factors play a major role in stabilizing current exchange rate and reinforcing the credibility of the bi-metallic regime.

PDF file of paper: Not available.

Session: Applied Econometrics II

Time: Sunday, 8 July, 2:15pm - 3:45pm

Room: C