The international contagion of short-run interest rates during the Great Depression

The aim of this article 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?