This paper uses a broad geographical sample to investigate stock market integration during the classical Gold Standard. It is novel in estimating 'global components' of stock market returns, using methods proposed by Volosovych (2011), Pukthuanthong and Roll (2009) and Ciccarelli and Mojon...

This paper uses annual data to study the interaction of consumer and commodity prices in 15 economies over the period 1850-1913. We find that consumer price inflation in all 15 countries co-moves with a broad measure of changes in commodity prices. Consumer prices comove most strongly with...

We study co-movements of inflation in a group of 15 countries before and during the classical Gold Standard by fitting a generalisation of the Ciccarelli-Mojon (2010) model on annual data spanning 1851-1913. We find that international inflation functions as an "attractor" for domestic inflation...

We argue that measurement error in historical price data has led researchers to erroneously believe that there was little persistence of inflation during the 19th century. Using a statistical technique that accounts for these errors, we estimate the persistence of (a) US inflation and (b)...