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Revolutionary change and structural breaks: A time series analysis of wages and commodity prices in Britain 1264-1913

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  • Casson, Catherine
  • Fry, J. M.

Abstract

In this paper we empirically test the hypothesis that economic revolutions are associated with structural breaks in historical economic data. A simple test for structural breaks in economic time series is applied to British wage and price data from the medieval to the modern period. Evidence for structural change is found in nearly half of the series studied -- suggesting that structural breaks are an intrinsic feature of such historic data. Structural changes are most closely linked to the Commercial Revolution followed by the Agricultural Revolution and the Industrial Revolution, with changes linked to an underlying process of price stabilisation as measured by a decrease in the long-term level of volatility.

Suggested Citation

  • Casson, Catherine & Fry, J. M., 2011. "Revolutionary change and structural breaks: A time series analysis of wages and commodity prices in Britain 1264-1913," MPRA Paper 27866, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:27866
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    References listed on IDEAS

    as
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    3. Adrian R. Bell & Chris Brooks & Tony Moore, 2008. "Interest in medieval accounts: Examples from England, 1272-1340," ICMA Centre Discussion Papers in Finance icma-dp2008-07, Henley Business School, University of Reading.
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    5. Dabin Wang & William G. Tomek, 2007. "Commodity Prices and Unit Root Tests," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 89(4), pages 873-889.
    6. Zeileis, Achim & Kleiber, Christian & Kramer, Walter & Hornik, Kurt, 2003. "Testing and dating of structural changes in practice," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 109-123, October.
    7. Munro, John H., 2002. "The medieval origins of the 'Financial Revolution': usury, rentes, and negotiablity," MPRA Paper 10925, University Library of Munich, Germany, revised Sep 2002.
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    More about this item

    Keywords

    historical economics; economic revolutions; structural breaks; price stabilisation;
    All these keywords.

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • N0 - Economic History - - General
    • P52 - Political Economy and Comparative Economic Systems - - Comparative Economic Systems - - - Comparative Studies of Particular Economies

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