• norsk
    • English
  • norsk 
    • norsk
    • English
  • Logg inn
Vis innførsel 
  •   Hjem
  • Norges Handelshøyskole
  • Department of Economics
  • Discussion papers (SAM)
  • Vis innførsel
  •   Hjem
  • Norges Handelshøyskole
  • Department of Economics
  • Discussion papers (SAM)
  • Vis innførsel
JavaScript is disabled for your browser. Some features of this site may not work without it.

Integration in the English wheat market 1770-1820

Brunt, Liam; Cannon, Edmund
Working paper
Thumbnail
Åpne
SAM1213.pdf (803.2Kb)
Permanent lenke
http://hdl.handle.net/11250/163400
Utgivelsesdato
2013-06
Metadata
Vis full innførsel
Samlinger
  • Discussion papers (SAM) [607]
Sammendrag
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.
Utgiver
Norwegian School of Economics. Department of Economics
Serie
Discussion paper;12/2013

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit
 

 

Bla i

Hele arkivetDelarkiv og samlingerUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifterDenne samlingenUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifter

Min side

Logg inn

Statistikk

Besøksstatistikk

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit