Camilla Ferretti

Author's titles

Does the Past Count? Sovereign Debt during the Classical Gold Standard through the Lenses of Mover Stayer and Markov Chain Models digital

by Daniela Bragoli, Camilla Ferretti, PIERO GANUGI, Luigi Grossi, Giancarlo Ianulardo

Year: 2019

...We study sovereign debt markets behaviour during the Classical Gold Standard (CGS) Era (1880-1913), i.e. the first era of globalization characterized by free movement of capital and a fixed exchange rate regime. In particular we analyse both the issues of markets memory and the degree of confidence in sovereign debt markets by means of three stochastic models: Markov Chain (MC), Mover Stayer (MS) and Non Homogeneous Markov Chain (NHMC) estimated on two-state transition matrices of countries switching from sound to distressed...

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