Discussion Paper Series in Economics, Department of Economics, Norwegian School of Economics (NHH)
Integration in the English wheat market 1770-1820.
() and Edmund Cannon
Abstract: Cointegration analysis has been used widely to quantify
market integration through price arbitrage. We show that total price
variability can be decomposed into: (i) magnitude of price shocks; (ii)
correlation of price shocks; (iii) betweenperiod arbitrage. All three
measures depend upon data frequency, but betweenperiod arbitrage is most
affected. We measure variation of these components across time and space
using English weekly wheat price data, 1770-1820. We show that conclusions
about arbitrage are sensitive to the precise form of cointegration model
used; different components behave differently; and different factors – in
terms of transport and information – explain behaviour of different
components. Previous analyses should be interpreted with caution.
Keywords: Domestic trade; economic integration; grain markets; transport; England and Wales; time-series cointegration.; (follow links to similar papers)
JEL-Codes: N73; Q11; R41; (follow links to similar papers)
62 pages, June 14, 2013
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