Estimating financial integration in the Middle Ages: What can we learn from a TAR model?

• 成果类型: Article; Proceedings Paper
• 署名作者: Humboldt University of Berlin; Free University of Berlin
• 刊物名称: JOURNAL OF ECONOMIC HISTORY
• ISSN/ISSBN: 0022-0507
• 发表日期: 2006
• 页码: 122-139
• 关键词: threshold cointegration; adjustment; LAW

摘要

We estimate a threshold autoregressive model to assess medieval financial integration. Our approach is based on the analysis of deviations between exchange rates and parity, which in a fully integrated market should not exceed bullion points. Hence, the time needed for adjustment, following a violation of the bullion points, is a measure of integration. We apply this approach to exchange between fourteenth- and fifteenth-century Flanders, Lubeck, and Prussia, results showing that whereas it took about eight months to reduce deviations between Flanders and Lubeck by 50 percent, those between Flanders and Prussia were roughly twice as persistent.