Article
The paradox of interest rates of the Greenback Era: A reexamination
Journal of Monetary Economics
Document Type
Article
Disciplines
Publication Version
Accepted Manuscript
Publication Date
1-1-2010
DOI
10.1016/j.jmoneco.2010.10.003
Abstract
The two leading explanations for the counterintuitive behavior of interest rates during the Greenback Era (1862–1878) – the resumption expectations model of Calomiris (1988) and the capital flow argument of Friedman and Schwartz (1963) – are inconsistent with each other in terms of their treatment of financial arbitrage. A methodology to identify unexploited arbitrage opportunities in financial data is proposed. Observable returns strongly suggest that the money market of the Greenback Era did not systematically admit arbitrage, except possibly around the times of the Gold Corner of 1869 and the Panic of 1873, which implies that Calomiris provides a more plausible explanation.
Copyright Owner
Elsevier Ltd.
Copyright Date
2010
Language
en
File Format
application/pdf
Citation Information
Oleksandr Zhylyevskyy. "The paradox of interest rates of the Greenback Era: A reexamination" Journal of Monetary Economics Vol. 57 Iss. 8 (2010) p. 1026 - 1037 Available at: http://works.bepress.com/oleksandr-zhylyevskyy/10/
NOTICE: this is the author’s version of a work that was accepted for publication in Journal of Monetary Economics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Monetary Economics, [57, 8, (2010)] doi:10.1016/j.jmoneco.2010.10.003