Using ARIMA forecasts to explore the efficiency of the forward Reichsmark market: Austria-Hungary, 1876-1914

Komlos, John; Flandreau, Marc

[journal article]

dc.contributor.author	Komlos, John	de
dc.contributor.author	Flandreau, Marc	de
dc.date.accessioned	2009-02-04T17:00:00Z	de
dc.date.accessioned	2012-08-29T23:25:10Z
dc.date.available	2012-08-29T23:25:10Z
dc.date.issued	2006	de
dc.identifier.issn	0172-6404
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/4996
dc.description.abstract	We explore the efficiency of the forward Reichsmark market in Vienna between 1876 and 1914. We estimate ARIMA models of the spot exchange rate in order to forecast the one-month-ahead spot rate. In turn we compare these forecasts to the contemporaneous forward rate, i.e., the market's forecast of the future spot rate. We find that shortly after the introduction of a "shadow" gold standard in the mid-1890s the forward rate became a considerably better predictor of the future spot rate than during the prior flexible exchange rate regime. Between 1907 and 1914 forecast errors were between a half and one-fourth of their pre-1896 level. This implies that the Austro-Hungarian Bank's policy of defending the gold value of the currency was successful in improving the efficiency of the foreign exchange market.	en
dc.language	en	de
dc.subject.ddc	Geschichte	de
dc.subject.ddc	History	en
dc.title	Using ARIMA forecasts to explore the efficiency of the forward Reichsmark market: Austria-Hungary, 1876-1914	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Historical Social Research	de
dc.source.volume	31	de
dc.publisher.country	DEU
dc.source.issue	3	de
dc.subject.classoz	Social History, Historical Social Research	en
dc.subject.classoz	Sozialgeschichte, historische Sozialforschung	de
dc.subject.thesoz	prognosis	en
dc.subject.thesoz	historische Entwicklung	de
dc.subject.thesoz	foreign exchange	en
dc.subject.thesoz	Prognose	de
dc.subject.thesoz	Markt	de
dc.subject.thesoz	Goldwährung	de
dc.subject.thesoz	Austria-Hungary	en
dc.subject.thesoz	Bank	de
dc.subject.thesoz	bank	en
dc.subject.thesoz	historical development	en
dc.subject.thesoz	market	en
dc.subject.thesoz	gold standard	en
dc.subject.thesoz	Österreich-Ungarn	de
dc.subject.thesoz	Devisen	de
dc.identifier.urn	urn:nbn:de:0168-ssoar-49969	de
dc.date.modified	2009-03-05T12:30:00Z	de
dc.rights.licence	Creative Commons - Attribution 4.0	en
dc.rights.licence	Creative Commons - Namensnennung 4.0	de
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	GESIS	de
internal.status	3	de
internal.identifier.thesoz	10034801
internal.identifier.thesoz	10036432
internal.identifier.thesoz	10040942
internal.identifier.thesoz	10037625
internal.identifier.thesoz	10045858
internal.identifier.thesoz	10053676
internal.identifier.thesoz	10034440
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	253-262
internal.identifier.classoz	30302
internal.identifier.journal	152	de
internal.identifier.document	32
internal.identifier.ddc	900
dc.identifier.doi	https://doi.org/10.12759/hsr.31.2006.3.253-262
dc.description.pubstatus	Published Version	en
dc.description.pubstatus	Veröffentlichungsversion	de
internal.identifier.licence	16
internal.identifier.pubstatus	1
internal.identifier.review	1
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Sozialgeschichte, historische Sozialforschung
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