Rights statement: This is the peer reviewed version of the following article: Peel D, Spiru A. Consistency of two major data sources for exchange rates in the interwar period and further evidence on the behaviour of exchange rates during hyperinflations. Int J Fin Econ. 2018;23:442–455. https://doi.org/10.1002/ijfe.1631 which has been published in final form athttps://onlinelibrary.wiley.com/doi/full/10.1002/ijfe.1631 This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.
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Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Consistency of two major data sources for exchange rates in the interwar period and further evidence on the behaviour of exchange rates during hyperinflations
AU - Peel, David Alan
AU - Spiru, Alina Maria
N1 - This is the peer reviewed version of the following article: Peel D, Spiru A. Consistency of two major data sources for exchange rates in the interwar period and further evidence on the behaviour of exchange rates during hyperinflations. Int J Fin Econ. 2018;23:442–455. https://doi.org/10.1002/ijfe.1631 which has been published in final form athttps://onlinelibrary.wiley.com/doi/full/10.1002/ijfe.1631 This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.
PY - 2018/10
Y1 - 2018/10
N2 - We exploit a rather neglected source of data, The Commercial and Financial Chronicle to shed light on the behaviour of daily and weekly exchange rates throughout several interwar hyperinflation episodes, in particularthe German hyperinflation. The purpose of our analysis is three-fold: firstly, we investigate the consistency of exchange rate data by comparing the rates available from this source to those provided by a widely used source,Einzig (1937). Secondly, we scrutinize the commentaries offered by The Chronicle to shed light on the impact of news on the behaviour of the US dollar/German reichsmark exchange rate over the interwar German hyperinflation, and to check whether the narrative analysis provided therein is consistent with formal econometric analyses in dating when the probability of monetary reform became significantly different from zero. Thirdly, we examine the relationship between the US dollar/German reichsmark spot rate and Germanwholesale prices during the high inflation period of 1923 using data at (nearly) weekly frequency. We find evidence of long- run purchasing power parity, consistent with the findings of several extant studies that employmonthly data. However, we also show that complete adjustment to purchasing power parity did not appear to occur with the nearly weekly sampled data.
AB - We exploit a rather neglected source of data, The Commercial and Financial Chronicle to shed light on the behaviour of daily and weekly exchange rates throughout several interwar hyperinflation episodes, in particularthe German hyperinflation. The purpose of our analysis is three-fold: firstly, we investigate the consistency of exchange rate data by comparing the rates available from this source to those provided by a widely used source,Einzig (1937). Secondly, we scrutinize the commentaries offered by The Chronicle to shed light on the impact of news on the behaviour of the US dollar/German reichsmark exchange rate over the interwar German hyperinflation, and to check whether the narrative analysis provided therein is consistent with formal econometric analyses in dating when the probability of monetary reform became significantly different from zero. Thirdly, we examine the relationship between the US dollar/German reichsmark spot rate and Germanwholesale prices during the high inflation period of 1923 using data at (nearly) weekly frequency. We find evidence of long- run purchasing power parity, consistent with the findings of several extant studies that employmonthly data. However, we also show that complete adjustment to purchasing power parity did not appear to occur with the nearly weekly sampled data.
KW - data consistency
KW - date of monetary reforms
KW - exchange rates
KW - German hyperinflation
KW - Hyperinflation
KW - interwar European hyperinflations
KW - purchasing power parity
U2 - 10.1002/ijfe.1631
DO - 10.1002/ijfe.1631
M3 - Journal article
VL - 23
SP - 442
EP - 455
JO - International Journal of Finance and Economics
JF - International Journal of Finance and Economics
SN - 1076-9307
IS - 4
ER -