| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9504 |
| DP9504 Integration in the English wheat market 1770-1820 | |
| Edmund Cannon; Liam Brunt | |
| 发表日期 | 2013-06-16 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | 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) between-period arbitrage. All three measures depend upon data frequency, but between-period 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. |
| 主题 | Economic History ; International Trade and Regional Economics |
| 关键词 | Domestic trade Economic integration Grain markets Transport England and wales Time-series cointegration |
| URL | https://cepr.org/publications/dp9504 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538340 |
| 推荐引用方式 GB/T 7714 | Edmund Cannon,Liam Brunt. DP9504 Integration in the English wheat market 1770-1820. 2013. |
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