Impulse response functions for Paris market in response to London shock

The panels depict impulse responses on the Paris market to a 1-percentage-point shock on the Dawes bond’s and Consol’s yield-to maturity in London. The impulse responses are estimated using Jordà’s (2005) local projections approach with a horizon of 5 days. Missing values in both data series are treated as if there was no trade and thus they are replaced with the most recent previously available value. “Before segmentation” refers to the period from January 1, 1930, to June 14, 1934, and “After segmentation” refers to the period from June 15, 1934, to August 31, 1939. The gray-shaded areas reflect 99% confidence bands. For details on the bond yield data, see Internet Appendix A.1.