Scandinavian Working Papers in Economics
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Department of Economics, Norwegian School of Economics (NHH) Discussion Paper Series in Economics, Department of Economics, Norwegian School of Economics (NHH)

No 12/2013:
Integration in the English wheat market 1770-1820.

Liam Brunt () 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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