Integration in the English wheat market 1770-1820

Edmund Cannon and Liam Brunt

No 9504, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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
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Citations: View citations in EconPapers (6)

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