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Integration in the English wheat market 1770-1820

Brunt, Liam; Cannon, Edmund
Working paper
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URI
http://hdl.handle.net/11250/163400
Date
2013-06
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  • Discussion papers (SAM) [607]
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) 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.
Publisher
Norwegian School of Economics. Department of Economics
Series
Discussion paper;12/2013

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