Financial Market Integration in Late Medieval Europe: Results from a Threshold Error Correction Model for the Rhinegulden and Basle Pound 1365-1429

This paper analyzes the integration of the foreign exchange market for the Basle Pound and the Rhinegulden and the market for gold and silver bullion for the period 1365–1429. The application of a threshold error correction model indicates that transaction costs prevent arbitrage when the difference...

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Bibliographic Details
Published inSchweizerische Zeitschrift für Volkswirtschaft und Statistik Vol. 147; no. 3; pp. 337 - 352
Main Author Kugler, Peter
Format Journal Article
LanguageEnglish
Published Heidelberg Springer 01.07.2011
Springer International Publishing
Swiss Society of Economics and Statistics (SSES)
Springer Nature B.V
SeriesSwiss Journal of Economics and Statistics (SJES)
Subjects
Basle pound
Economic integration
Economics
Economics and Finance
Error correction & detection
Financial market
Financial market integration
Foreign exchange
Foreign exchange markets
Foreign exchange rates
Rhinegulden
Silver
Statistics
threshold error correction
Transaction costs
Financial market integration
transaction costs
threshold error correction
Basle pound
Rhinegulden
N23
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Summary:This paper analyzes the integration of the foreign exchange market for the Basle Pound and the Rhinegulden and the market for gold and silver bullion for the period 1365–1429. The application of a threshold error correction model indicates that transaction costs prevent arbitrage when the difference between the gold-silver ratio and the exchange rate is within a 7.4% band, whereas larger deviation exchange rate movements close this gap within one year.
ISSN:2235-6282
0303-9692
2235-6282
DOI:10.1007/BF03399349