Integration in the English wheat market 1770-1820

Edmund Cannon and Liam Brunt

No 9504, CEPR Discussion Papers from Centre for Economic Policy Research

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) between-period arbitrage. All three measures depend upon data frequency, but between-period 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 (search for similar items in EconPapers)
JEL-codes: N73 Q11 R41 (search for similar items in EconPapers)
Date: 2013-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://cepr.org/publications/DP9504 (application/pdf)

Related works:
Working Paper: Integration in the English wheat market 1770-1820 (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:9504

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP9504

Access Statistics for this paper

More papers in CEPR Discussion Papers from Centre for Economic Policy Research 33 Great Sutton Street, London EC1V 0DX, UK.
Bibliographic data for series maintained by CEPR ().