The International Contagion of Short-Run Interest Rates During the Great Depression

Samuel Maveyraud (1) , Antoine Parent (2, 3)

1 GREThA - Groupe de Recherche en Economie Théorique et Appliquée
2 LAET - Laboratoire Aménagement Économie Transports
3 IEP Lyon - Sciences Po Lyon - Institut d'études politiques de Lyon

The aim of this chapter is to clearly identify the mechanisms of the money market spillovers between the United States, the United Kingdom and France during the interwar period. To describe these mechanisms in detail, a BEKK model, in which we introduce a structural break, is adopted. Our analysis sheds new light on key historical issues: Was the crisis imported into the US? Did France set off interest rate volatility in the rest of the world during the thirties? Does the propagation process of interest rate volatility corroborate the “Golden Fetters” hypothesis?

Mots clés: GARCH models; Interwar period; Interest rates; Gold exchange standard; Contagion; Financial crisis

Domaines: Économie et finance quantitative [q-fin]

Samuel Maveyraud, Antoine Parent. The International Contagion of Short-Run Interest Rates During the Great Depression. Isao Suto; Hugh Rockoff. Coping with financial crises. Some Lessons from Economic History, Springer, pp.17-46, 2017, Studies in Economic History, Online ISBN 978-981-10-6196-7 ; Print ISBN 978-981-10-6195-0. ⟨10.1007/978-981-10-6196-7_2⟩. ⟨hal-02273091⟩