Market Integration Dynamics and Asymptotic Price Convergence in Distribution

Arbeitspapier

In this paper we analyse the market integration process of the relative price distribution, develop a model to analyze market integration, and present a formal test of increasing market integration. We distinguish between the economic concepts of price convergence in mean and in variance. When both types of convergence occur, prices are said to converge in distribution. We present concepts and definitions related to the market integration process, link this to price convergence in distribution, argue that the Law of One Price (LOP) is not a sufficient condition for market integration, and present a formal test of price convergence in distribution. In the empirical analysis, we analyze integration of the inland grains market in 19th Century USA.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Tinbergen Institute Discussion Paper ; No. 13-128/III

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Economic History: Transport, International and Domestic Trade, Energy, Technology, and Other Services: General, International, or Comparative ; Economic Integration
• Thema: Regional and global markets ; Integration ; Asymptotic price convergence ; Mean ; Variance ; Distribution

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): García-Hiernaux, Alfredo ; Guerrero, David E. ; McAleer, Michael
• Ereignis: Veröffentlichung
• (wer): Tinbergen Institute
• (wo): Amsterdam and Rotterdam
• (wann): 2013

Weitere Informationen

• Handle: http://hdl.handle.net/10419/87412
• Letzte Aktualisierung: 10.03.2025, 11:46 MEZ