Market Integration Dynamics and Asymptotic Price Convergence in Distribution
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...
| Autores: | , , |
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| Formato: | informe técnico |
| Fecha de publicación: | 2013 |
| País: | España |
| Recursos: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/41500 |
| Acesso em linha: | https://hdl.handle.net/20.500.14352/41500 |
| Access Level: | acceso abierto |
| Palavra-chave: | Regional and global markets Integration Asymptotic price convergence Mean Variance Distribution. Econometría (Economía) 5302 Econometría |
| Resumo: | 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 denitions related to the market integration process, link this to price convergence in distribution, argue that the Law of One Price (LOP) is not a sucient 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. |
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