(Fuente: Nomura, via FT Alphaville)
Archive for November 25th, 2010
(Fuente: The Economist)
Did Adhering to the Gold Standard Reduce the Cost of Capital?
A commonly cited benefit of the pre‐World War One gold standard is that it reducedthe cost of international borrowing by signaling a country’s commitment to financial probity.Using a newly constructed data set that consists of more than 55,000 monthly sovereign bondreturns, we test if gold‐standard adherence was negatively correlated with the cost of capital.Conditional on UK risk factors, we find no evidence that the bonds issued by countries off goldearned systematically higher excess returns than the bonds issued by countries on gold. Ourresults are robust to allowing betas to differ across bonds issued by countries off‐ and on‐gold;to including proxies that capture the effect of fiscal, monetary, and trade shocks on thecommitment to gold; and to controlling for the effect of membership in the British Empire.
Link al Paper