Sovereign risk in the classical gold standard era

Working paper

This paper explores the determinants of sovereign bond yields during the classical gold standard period (1872-1913). Using the Pooled Mean Group methodology, we find that the main benefit of the gold standard can be seen as a short-hand device that enhanced a country's reputation in international capital markets. By conveying important information to investors and enhancing the speed of adjustment of sovereign bond spreads to long-run equilibrium levels, the gold standard allowed country risk...

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Authors: Cameron, G; Tan, K; Gai, P

• Publication status: Published
• Publisher: University of Oxford Publisher's website
• Series: Department of Economics Discussion Paper Series
• Publication date: 2006-03-01
• Paper number: 258
• Keywords: gold standard; heterogeneous dynamic panels; pooled mean group estimator; sovereign risk