Measuring integration in the English wheat market, 1770-1820

Principal Investigator(s):  View help for Principal Investigator(s) Edmund Cannon, University of Bristol; Liam Brunt, NHH - Norwegian School of Economics

Version:  View help for Version V1

Name File Type Size Last Modified
EEH_2013_w1770-1820_ICPSR.xls application/vnd.ms-excel 941 KB 08/11/2022 10:42:AM

Project Citation: 

Cannon, Edmund, and Brunt, Liam. Measuring integration in the English wheat market, 1770-1820. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2022-08-11. https://doi.org/10.3886/E177341V1

Project Description

Summary:  View help for Summary We show that vector error correction models encompass different approaches to analysing market integration; we illustrate our method using English weekly wheat prices, 1770-1820.  Price variation decomposes into: (i) magnitude of price shocks; (ii) correlation of price shocks; (iii) between-period arbitrage.  Data frequency affects these components, but has the largest effect on between-period arbitrage, commonly measured by half-life.  Since this measure has been generally employed, previous analyses should be interpreted with caution.  We further show that estimated effects of better transport and communication depend on the model used to measure market integration.  Notably, we observe market integration improvements, not in between-period arbitrage, but in the within-week behaviour of prices (i.e. over much shorter time periods).  So transport impacted English market integration, but in a way not captured by half-lives.



Scope of Project

Subject Terms:  View help for Subject Terms Prices
Geographic Coverage:  View help for Geographic Coverage England and Wales
Time Period(s):  View help for Time Period(s) 1770 – 1820
Universe:  View help for Universe Weekly data on grain prices at county level.
Data Type(s):  View help for Data Type(s) administrative records data
Collection Notes:  View help for Collection Notes
Prices were originally published in the London Gazette (the official newspaper of the British government) and published weekly approximately one week in arrears.
Data were transcribed manually into Excel spreadsheets.


Methodology

Data Source:  View help for Data Source
The data were transcribed from the London Gazette.
The price data published in the London Gazette were weighted averages of prices of wheat sold in markets. More information about how the British government collected these data can be found in Brunt and Cannon (2013) "The truth, the whole truth and nothing but the truth: the English corn returns as a data source and in economic history, 1770-1914" European Review of Economic History, 17(3), pp. 318-339.

Unit(s) of Observation:  View help for Unit(s) of Observation Weekly
Geographic Unit:  View help for Geographic Unit County

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Published Versions

V1 [2022-08-11]

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