Citation

Discussion Paper Details

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Title: Integration in the English wheat market 1770-1820

Author(s): Liam Brunt and Edmund Cannon

Publication Date: June 2013

Keyword(s): domestic trade, economic integration, England and Wales, grain markets, time-series cointegration and transport

Programme Area(s): Economic History and International Trade and Regional Economics

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.

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Bibliographic Reference

Brunt, L and Cannon, E. 2013. 'Integration in the English wheat market 1770-1820'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=9504