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dc.contributor.authorBrunt, Liam
dc.contributor.authorCannon, Edmund
dc.date.accessioned2013-07-30T10:42:31Z
dc.date.available2013-07-30T10:42:31Z
dc.date.issued2013-06
dc.identifier.issn0804-6824
dc.identifier.urihttp://hdl.handle.net/11250/163400
dc.description.abstractCointegration 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.no_NO
dc.language.isoengno_NO
dc.publisherNorwegian School of Economics. Department of Economicsno_NO
dc.relation.ispartofseriesDiscussion paper;12/2013
dc.subjectdomestic tradeno_NO
dc.subjecteconomic integrationno_NO
dc.subjectgrain marketsno_NO
dc.subjecttransportno_NO
dc.subjectEngland and Walesno_NO
dc.subjecttime-series cointegrationno_NO
dc.titleIntegration in the English wheat market 1770-1820no_NO
dc.typeWorking paperno_NO
dc.subject.nsiVDP::Social science: 200::Economics: 210::Economics: 212no_NO


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