Market Integration Dynamics and Asymptotic Price Convergence in Distribution

Alfredo Garcia-Hiernaux, David Guerrero () and Michael McAleer

No 13-128/III, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: In this paper we analyse the market integration process of the relative price distribution, develop a model to analyze market integration, and present a formal test of increasing market integration. We distinguish between the economic concepts of price convergence in mean and in variance. When both types of convergence occur, prices are said to converge in distribution. We present concepts and definitions related to the market integration process, link this to price convergence in distribution, argue that the Law of One Price (LOP) is not a sufficient condition for market integration, and present a formal test of price convergence in distribution. In the empirical analysis, we analyze integration of the inland grains market in 19th Century USA.

Keywords: Regional and global markets; Integration; Asymptotic price convergence; Mean; Variance; Distribution (search for similar items in EconPapers)
JEL-codes: C22 C32 F15 N70 (search for similar items in EconPapers)
Date: 2013-09-03
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://papers.tinbergen.nl/13128.pdf (application/pdf)

Related works:
Journal Article: Market integration dynamics and asymptotic price convergence in distribution (2016)
Working Paper: Market Integration Dynamics and Asymptotic Price Convergence in Distribution (2015)
Working Paper: Market Integration Dynamics and Asymptotic Price Convergence in Distribution (2015)
Working Paper: Market Integration Dynamics and Asymptotic Price Convergence in Distribution (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:tin:wpaper:20130128

Access Statistics for this paper

More papers in Tinbergen Institute Discussion Papers from Tinbergen Institute Contact information at EDIRC.
Bibliographic data for series maintained by Tinbergen Office +31 (0)10-4088900 ().