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

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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. 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 Group Munich.
    2. 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.
    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 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.
    5. Li, Zhuo & Panza, Laura & Song, Yong, 2017. "The evolution of Ottoman-European market linkages, 1469-1914: evidence from dynamic factor models," MPRA Paper 80953, University Library of Munich, Germany.

    More about this item

    Keywords

    Domestic trade; Economic integration; Grain markets; Transport; England and Wales; Time-series cointegration;

    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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