The gold-exchange standard in India 1893-1913 was characterized by a narrow target zone for the exchange rate, a wide annual range for the international interest-rate differential, and negative (seasonal) autocorrelation in interest rates. These properties are consistent with a standard...

Daily data on spot and forward dollar/sterling exchange rates and on Britain's foreign exchange reserves are used to reassess the financial history of the 1956 Suez crisis. We find that support of sterling at its Bretton Woods lower bound lost credibility as early as July. Reserve losses also...

Euro-interest rates are well-known to be persistent, as are their differentials across countries for a given maturity. The international CCAPM implies that the rates are persistent because forecasts of national consumption growth or inflation are persistent too. We examine this prediction for a...

This paper investigates the behaviour of estimators based on the Kullback-Leibler information criterion (KLIC), as an alternative to the generalized method of moments (GMM). We first study the estimators in a Monte Carlo simulation model of consumption growth with power utility. Then we compare...

We present numerical estimates of the effect on the dollar/sterling exchange rate in the early 1920s of anticipations of the return to the gold standard at pre-war parity in the U.K. These measures are calculated using a weak version of the monetary model of the exchange rate but are consistent...

A test of a dynamic, macroeconomic model with free parameters is provided by comparing its features, such as moments, with those of historical data. We provide a method for studying the distribution of the sample moment under the null hypothesis that the model is true. We calculate the size of...

We examine hypotheses about the relationship between provisional estimates and final values of M1, M2, and M3 and their growth rates in Canada, using monthly data and multiple revisions. Preliminary values cannot be viewed as final values plus an error (revision) uncorrelated with these but they...