Ž . Economic Modelling 17 2000 515544 A monthly econometric model of the transmission of the Great Depression between the principal industrial economies James Foreman-Peck a,  , Andrew Hughes Hallett b , Yue Ma c a H.M. Treasury, London SW1P 3AG, UK b Uni  ersity of Strathclyde, Glasgow, UK c Lingnan Uni  ersity, Hong Kong Accepted 10 November 1999 Abstract This article describes and estimates, with monthly data, a model of the economic interactions between the United States, the United Kingdom, France and Germany over the years 1927 1936. Despite the radically different economic environment, the model shows broadly similar qualitative and dynamic responses to policy instruments and other changes to those of multi-country models estimated on more recent data. The model is simulated to assess the causes of the Great Depression and the particular contribution of European and American policies to the slump. Optimum strategic policy equilibria are then computed. They point to the mismanagement of the US economy as the principal cause of the depression, although French and German policies were also harmful. British policymakers performed rather well, but their economy suffered because of the other countries’ policy errors.  2000 Elsevier Science B.V. All rights reserved. JEL classifications: C5; N1; F4 Keywords: Multicountry model; Optimal strategic policies; Great Depression  Corresponding author. Ž . E-mail address: james.foreman-peck@hm-treasury.gov.uk J. Foreman-Peck . 0264-999300$ - see front matter  2000 Elsevier Science B.V. All rights reserved. Ž . PII: S 0 2 6 4 - 9 9 9 3 99 00037-1