An Empirical Investigation of the Seasonal Behavior of Interest Rates and Exchange Rates During the Gold Standard

The purpose of this empirical investigation of the time series behavior of U.S. and British short term nominal interest rates and exchange rates between the United States and Britain during the period from 1883 to 1913 is to determine whether predictable seasonal fluctuations can be identified in the historical record. Previous empirical investigations, discussed in the literature review, have found significant seasonal fluctuations of U.S. and British short term nominal interest rates and the dollar-sterling sight exchange rate. The results of this investigation concur with earlier work. The pattern of seasonal fluctuations is consistent with the traditional stories. Interest rates in both the United States and Britain tended to be highest during the late fall and early winter and tended to be lowest during the late spring and early winter months.