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Marie-Thérèse Boyer-Xambeu (Université de Paris VII – LED, France), Ghislain Deleplace (Université de Paris 12 – ERUDITE, France), Patrice Gaubert (CNRS – LED, France) and Lucien Gillard (Université de Paris I – CES SAMOS, France)

DOI: 10.4018/978-1-59904-849-9.ch147

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TopThe relative prices of gold in silver are computed from the price of each metal observed, twice a week, in each of the three financial places, Paris, London and Hamburg (respectively, *poa*, *lgs*, and *hoa*), from the beginning of 1821 until the end of 1860. The same type of data is available for the exchange rates (Pound in Francs, Pound in Marks, Mark in Francs: respectively, *lpv*, *hlv*, and *phv*).

An observation is a set of twelve values, two quotations (Tuesday and Friday) for each of the six variables.

A computed variable has been added to emphasize the relation between the relative price of metals in Hamburg and the average level in Paris and London of this value (*hpl*).

Most of the time the quotations show rather small differences within a given week, but periods with important troubles, Paris in the late 1840s for instance, may be well separated from the more classical ones.

After the Kohonen classification using a grid of 25 nodes, a hierarchical ascending classification is used to produce a small number of macro classes, in this case 6 macro classes, corresponding to the main sub-periods. This latter classification is constructed with the code vectors obtained from the first process^{2}.

Change-Point: Instant of time where the basic parameters of time series change (in mean and/or in variance); the series may be considered as a piecewise stationary process between two change-points

International Monetary System: A system linking the currencies of various countries, which ensures the stability of the exchange rates between them. Its working depends on the monetary rules adopted in each country and on international arbitrage (see that definition) between the foreign exchange markets. Historical examples are the gold-standard system (1873-1914) and the Bretton-Woods system (1944-1976). The paper studies some characteristics of another historical example: international bimetallism (see that definition).

International Arbitrage: Activity of traders in gold and silver and in foreign exchange, which consisted in comparing their prices in different places, and in moving the precious metals and the bills of exchange accordingly, in order to make a profit. Arbitrage and monetary rules were the two factors explaining the working of international bimetallism (see that definition).

Markov Switching Model: An autoregressive model where the process linking a present value to its lags is an hidden Markov chain defined by its transition matrix

SOM Algorithm: An unsupervised technique of classification (Kohonen,1984) combining adaptative learning and neighbourhood to construct a very stable classification, with a more simple interpretation (‘Kohonen maps’) than other techniques.

Gold-Silver Price: Ratio of the market price of gold to the market price of silver in one place. The stability of that ratio through time and the convergence of its levels in the various places constituting the international bimetallism (see that definition) are tests of the integration of that system.

International Bimetallism: An international monetary system (see that definition) which worked from 1821 to 1873. It was based on gold and silver acting as monetary standards, either together in the same country (like France) or separately in different countries (gold in England, silver in German and Northern states). The integration of that system was reflected in the stability and the convergence of the observed levels of the relative price of gold to silver (see that definition) in London, Paris, and Hamburg.

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