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Estimating Financial Integration in the Middle Ages: What Can We Learn from a TAR Model?

Published online by Cambridge University Press:  17 March 2006

OLIVER VOLCKART  and
NIKOLAUS WOLF
OLIVER VOLCKART
Affiliation:
PD Dr., Institut für Wirtschaftsgeschichte, HU Berlin, Spandauer Straße 1, 10178 Berlin, Germany. E-mail volckart@wiwi.hu-berlin.de.
NIKOLAUS WOLF
Affiliation:
Juniorprof. Dr., Institut für Wirtschaftspolitik und Wirtschaftsgeschichte, FU Berlin, Boltzmannstraße 20, 14195 Berlin, Germany. E-mail: nikolaus.wolf@wiwiss.fu-berlin.de.
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Abstract

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, Lübeck, and Prussia, results showing that whereas it took about eight months to reduce deviations between Flanders and Lübeck by 50 percent, those between Flanders and Prussia were roughly twice as persistent.

Type
ARTICLES
Information
The Journal of Economic History , Volume 66 , Issue 1 , March 2006 , pp. 122 - 139
Copyright
© 2006 The Economic History Association

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