Integration in the English Wheat Market 1770-1820

68 Pages Posted: 15 Jun 2013

See all articles by Liam Brunt

Liam Brunt

NHH - Norwegian School of Economics; Centre for Economic Policy Research (CEPR)

E. S. Cannon

University of Bristol - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: June 4, 2013


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.

Keywords: domestic trade, economic integration, grain markets, transport, England and Wales

JEL Classification: N73, Q11, R41

Suggested Citation

Brunt, Liam and Cannon, Edmund Stuart, Integration in the English Wheat Market 1770-1820 (June 4, 2013). NHH Dept. of Economics Discussion Paper No. 12/2013, Available at SSRN: or

Liam Brunt (Contact Author)

NHH - Norwegian School of Economics ( email )

Department of Economics
Helleveien 30
N-5035 Bergen, Hordaland

Centre for Economic Policy Research (CEPR)

United Kingdom

Edmund Stuart Cannon

University of Bristol - Department of Economics ( email )

Senate House
Tyndall Avenue
Bristol BS8 ITH
United Kingdom

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