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Measuring integration in the English wheat market, 1770–1820: New methods, new answers

Author

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  • Brunt, Liam
  • Cannon, Edmund

Abstract

We show that vector error correction models encompass different approaches to analysing market integration; we illustrate our method using English weekly wheat prices, 1770–1820. Price variation decomposes into: (i) magnitude of price shocks; (ii) correlation of price shocks; (iii) between-period arbitrage. Data frequency affects these components, but has the largest effect on between-period arbitrage, commonly measured by half-life. Since this measure has been generally employed, previous analyses should be interpreted with caution. We further show that estimated effects of better transport and communication depend on the model used to measure market integration. Notably, we observe market integration improvements, not in between-period arbitrage, but in the within-week behaviour of prices (i.e. over much shorter time periods). So transport impacted English market integration, but in a way not captured by half-lives.

Suggested Citation

  • Brunt, Liam & Cannon, Edmund, 2014. "Measuring integration in the English wheat market, 1770–1820: New methods, new answers," Explorations in Economic History, Elsevier, vol. 52(C), pages 111-130.
    • Handle: RePEc:eee:exehis:v:52:y:2014:i:c:p:111-130
    DOI: 10.1016/j.eeh.2013.10.003
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    Citations

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    Cited by:

    1. Federico, Giovanni & Schulze, Max-Stephan & Volckart, Oliver, 2021. "European Goods Market Integration in the Very Long Run: From the Black Death to the First World War," The Journal of Economic History, Cambridge University Press, vol. 81(1), pages 276-308, March.
    2. Garcia-Hiernaux, Alfredo & Guerrero, David E., 2021. "Price convergence: Representation and testing," Economic Modelling, Elsevier, vol. 104(C).
    3. García-Hiernaux, Alfredo & Guerrero, David E. & McAleer, Michael, 2016. "Market integration dynamics and asymptotic price convergence in distribution," Economic Modelling, Elsevier, vol. 52(PB), pages 913-925.
    4. Daniel Cassidy & Nick Hanley, 2022. "Union, border effects, and market integration in Britain," Working Papers 0228, European Historical Economics Society (EHES).
    5. Li, Zhuo & Panza, Laura & Song, Yong, 2019. "The evolution of ottoman–European market linkages, 1469–1914: Evidence from dynamic factor models," Explorations in Economic History, Elsevier, vol. 71(C), pages 112-134.
    6. John E. Murray & Javier Silvestre, 2020. "Integration in European coal markets, 1833–1913," Economic History Review, Economic History Society, vol. 73(3), pages 668-702, August.
    7. Daniel M. Bernhofen & Markus Eberhardt & Jianan Li & Stephen Morgan, 2015. "Assessing Market (Dis)Integration in Early Modern China and Europe," CESifo Working Paper Series 5580, CESifo.
    8. Chilosi, David & Federico, Giovanni, 2015. "Early globalizations: The integration of Asia in the world economy, 1800–1938," Explorations in Economic History, Elsevier, vol. 57(C), pages 1-18.
    9. Nogues-Marco, Pilar & Herranz-Loncán, Alfonso & Aslanidis, Nektarios, 2017. "The making of a national currency. Spatial transaction costs and money market integration in Spain (1825-1874)," CEPR Discussion Papers 12453, C.E.P.R. Discussion Papers.
    10. Alexander Pütz & Pierre L. Siklos & Christoph Sulewski, 2019. "“Who pays the piper calls the tune” – Networks and transaction costs in commodity markets," CQE Working Papers 8819, Center for Quantitative Economics (CQE), University of Muenster.
    11. Jopp, Tobias A., 2017. "How does the public perceive alliances? The Central and Allied Powers in World War I," IBF Paper Series 12-17, IBF – Institut für Bank- und Finanzgeschichte / Institute for Banking and Financial History, Frankfurt am Main.
    12. Daniel Bernhofen & Markus Eberhardt & Jianan Li & Stephen Morgan, 2017. "The evolution of markets in China and Western Europe on the eve of industrialisation," Discussion Papers 2017-12, University of Nottingham, GEP.
    13. Daniel Cassidy & Nick Hanley, 2020. "Regional market integration and the emergence of a Scottish national grain market," Working Papers 0200, European Historical Economics Society (EHES).
    14. Miquel-Àngel Garcia-López & Alfonso Herranz-Loncán & Filippo Tassinari & Elisabet Viladecans-Marsal, 2021. "Paving the way to modern growth. Evidence from Bourbon roads in Spain," Working Papers 0209, European Historical Economics Society (EHES).

    More about this item

    Keywords

    Domestic trade; Economic integration; Grain markets; Transport; England and Wales; Time-series cointegration;
    All these keywords.

    JEL classification:

    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
    • N01 - Economic History - - General - - - Development of the Discipline: Historiographical; Sources and Methods
    • N54 - Economic History - - Agriculture, Natural Resources, Environment and Extractive Industries - - - Europe: 1913-
    • N73 - Economic History - - Economic History: Transport, International and Domestic Trade, Energy, and Other Services - - - Europe: Pre-1913
    • Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness
    • R40 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Transportation Economics - - - General

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