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Integration in the English wheat market 1770-1820

Author

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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.

Suggested Citation

  • Brunt, Liam & Cannon, Edmund, 2013. "Integration in the English wheat market 1770-1820," Discussion Paper Series in Economics 12/2013, Norwegian School of Economics, Department of Economics.
    • Handle: RePEc:hhs:nhheco:2013_012
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    More about this item

    Keywords

    Domestic trade; economic integration; grain markets; transport; England and Wales; time-series cointegration.;
    All these keywords.

    JEL classification:

    • N73 - Economic History - - Economic History: Transport, International and Domestic Trade, Energy, and Other Services - - - Europe: Pre-1913
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • R41 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Transportation Economics - - - Transportation: Demand, Supply, and Congestion; Travel Time; Safety and Accidents; Transportation Noise

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