Resumen de Sovereign Risk in the Classical Gold Standard Era.

Prasanna Gai, Gavin Cameron, Kang Yong Tan

• This paper reassesses the determinants of sovereign bond yields during the classical gold standard period (1872–1913) using the pooled mean group methodology. We find that, rather than lowering risk premia directly, membership of the gold standard hastened the convergence of sovereign bond spreads to their long-run equilibrium levels. Our results also suggest that investors looked beyond the gold standard to country-specific fundamental factors when pricing and differentiating sovereign risk.