Estimating financial integration in the Middle Ages: what can we learn from a TAR Model?

We estimate a threshold autoregressive model to assess medieval financial inte- gration. Our approach is based on the analysis of deviations between exchange rates and parity, which in a fully integrated market should not exceed bullion points. Hence, the time needed for adjustment, following a violation of the bul- lion points, is a measure of integration. We apply this approach to exchange be- tween fourteenth- and fifteenth-century Flanders, Ltibeck, and Prussia, results showing that whereas it took about eight months to reduce deviations between Flanders and Lilbeck by 50 percent, those between Flanders and Prussia were roughly twice as persisten