The main aim of this project is to construct a new dataset on exchange rates from 1919 to 1975. This period spans the floating regime of the 1920s, the managed floating regime of the 1930s and the fixed exchange rate regime under Bretton Woods from 1945-72. This new dataset will enable us to examine both (i) how foreign exchange market liquidity behaves and (ii) how currency returns, particularly carry returns, vary across different exchange rate regimes.
The project is led by Dr Olivier Accominotti (London School of Economics), Dr Jason Cen (University of Cambridge) and Dr David Chambers (University of Cambridge). The project has attracted £75k of funding including awards from the Research Infrastructure and Investment Fund at the London School of Economics and the Cambridge Endowment for Research in Finance.
Accominotti, O. and Chambers, D., 2016, “If you’re so smart: John Maynard Keynes and currency speculation in the interwar years” Journal of Economic History, 76 (2): 342-386. (Lead article)