Original sin and the great depression*

• 成果类型: Article
• 署名作者: Bordo, Michael D.; Meissner, Christopher M.
• 署名单位: Rutgers University System; Rutgers University New Brunswick; National Bureau of Economic Research; University of California System; University of California Davis; University of California System; University of California Davis
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2023.103814
• 发表日期: 2023
• 关键词: Foreign currency debt; Exchange rate policy; gold standard; Great Depression

摘要

Do exchange rate movements matter for how markets price foreign currency denominated sovereign bonds? High-frequency bond price data from 1931 show that depreciation against the dollar/gold was associated with elevated risk premia on US dollar/gold public debt. We use a theoretical model to illustrate how foreign currency debt influences exchange rate policy and foreign currency bond prices. We use these theoretical results, the timing of sterling's devaluation in September 1931, and historically determined fundamentals to identify the impact of exchange rate policy on hard-currency bond yields in the Great Depression. (c) 2023 The Authors. Published by Elsevier B.V. This is an open access article under the CC BYNC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).