This paper studies the causes of movements in inflation and output in Switzerland over 160 years between 1855 and 2015. Aggregate supply and demand shocks are identified in a structural VAR and their evolution and effect on prices and output is discussed. Shocks to the Swiss economy have...

This paper studies the predictability of stock returns using monthly data on eight markets over the period 1876-1913. In contrast to much of the existing literature I find broad predictability across stock markets. Market interest rates and seasonal dummies generally have predictive power, and...

This paper uses a broad geographical sample to investigate stock market integration during the classical Gold Standard. It is novel in estimating 'global components' of stock market returns, using methods proposed by Volosovych (2011), Pukthuanthong and Roll (2009) and Ciccarelli and Mojon...

We study domestic and international drivers of long-term interest rates using newly compiled financial market data for Switzerland starting in 1852. We use a time-varying parameter vector autoregressive model to estimate long-term trends in nominal interest rates, exchange rate growth, and...

We study co-movements of inflation in a group of 15 countries before and during the classical Gold Standard by fitting a generalisation of the Ciccarelli-Mojon (2010) model on annual data spanning 1851-1913. We find that international inflation functions as an "attractor" for domestic inflation...

This paper uses annual data to study the interaction of consumer and commodity prices in 15 economies over the period 1850-1913. We find that consumer price inflation in all 15 countries co-moves with a broad measure of changes in commodity prices. Consumer prices comove most strongly with...