RISCO SOBERANO, VOLATILIDADE E PADRÃO-OURO: 1870¿1930 / SOVEREIGN RISK, VOLATILITY AND THE GOLD STANDARD: 1870-1930
AUTOR(ES)
PEDRO CARVALHO LOUREIRO DE SOUZA
DATA DE PUBLICAÇÃO
2009
RESUMO
This research documents the relationship between sovereign risk volatility and gold standard adherence in the classical period comprised between 1870 and 1914. The application the econometric model of FCGARCH (or Flexible Coefficient GARCH) provides evidence that regimes of low volatility of spreads ¿ as measured by the difference between the interest rate accrued by sovereign debt floated in the City of London and its risk-free counterpart, the British consols ¿ were associated to adherence to the gold standard. In a general manner, it is interpreted that the low variance created the necessary preconditions for gold standard adherence, specially for countries in the periphery. Earlier papers on this subject analyzed the mean spread behavior when country adopted the regime, and no significant effect was found.
ASSUNTO(S)
volatilidade sovereign risk risco soberano volatility models
ACESSO AO ARTIGO
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