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Integration in the English wheat market 1770-1820

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  • Brunt, Liam

    ()
    (Dept. of Economics, Norwegian School of Economics and Business Administration)

  • Cannon, Edmund

    ()
    (University of Bristol)

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.

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Bibliographic Info

Paper provided by Department of Economics, Norwegian School of Economics in its series Discussion Paper Series in Economics with number 12/2013.

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Length: 62 pages
Date of creation: 14 Jun 2013
Date of revision:
Handle: RePEc:hhs:nhheco:2013_012

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Postal: NHH, Department of Economics, Helleveien 30, N-5045 Bergen, Norway
Phone: +47 55 959 277
Fax: 5595 9100
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Web page: http://www.nhh.no/sam/
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Keywords: Domestic trade; economic integration; grain markets; transport; England and Wales; time-series cointegration.;

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