Integration in the English wheat market 1770-1820

Liam Brunt and Edmund Cannon

No 12/2013, Discussion Paper Series in Economics from Norwegian School of Economics, Department of Economics

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. (search for similar items in EconPapers)
JEL-codes: N73 Q11 R41 (search for similar items in EconPapers)
Pages: 62 pages
Date: 2013-06-14
New Economics Papers: this item is included in nep-agr
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.nhh.no/Files/Filer/institutter/sam/Discussion%20papers/2013/12.pdf (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:hhs:nhheco:2013_012

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Discussion Paper Series in Economics from Norwegian School of Economics, Department of Economics NHH, Department of Economics, Helleveien 30, N-5045 Bergen, Norway. Contact information at EDIRC.
Bibliographic data for series maintained by Synne Stormoen ().