The Law of One Price Over 700 Years
Kenneth Rogoff,
Kenneth Froot and
Michael Kim
No 2001/174, IMF Working Papers from International Monetary Fund
Abstract:
This paper examines annual commodity price data from England and Holland over a span of seven centuries. Our data incorporates transaction prices on seven commodities: barley, butter, cheese, oats, peas, silver, and wheat, as well as pound/shilling nominal exchange rates going back, in some cases, to 1273. We find that the magnitude, volatility, and persistence of deviations from the law of one price have not declined by as much as one might expect. We find this despite lower transport costs, reduced trade protection, and fewer wars and plagues in the modern era. Our analysis is consistent with growing evidence that goods-market arbitrage remains highly imperfect, even today.
Keywords: WP; standard deviation; time series; simple average; standard error; purchasing power parity; exchange rates; price deviation; commodity price series; price trend; price movement; price differential; Agricultural commodities; Commodity prices; Metal prices; Silver; Europe (search for similar items in EconPapers)
Pages: 43
Date: 2001-11-01
References: Add references at CitEc
Citations: View citations in EconPapers (35)
Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=15428 (application/pdf)
Related works:
Journal Article: The Law of One Price Over 700 Years (2019) 
Working Paper: The Law of One Price Over 700 Years (1995)
Working Paper: The Law of One Price Over 700 Years (1995) 
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:imf:imfwpa:2001/174
Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm
Access Statistics for this paper
More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().