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Convergence to No Arbitrage Equilibria in Market Games.

Koutsougeras, Leonidas C. - Økonomisk Institut, Københavns Universitet - 2002

For market games which feature multiple posts for each commodity we show the following: (i) the 'law of one price' obtains asymptotically as the number of market participants becomes infinite, irrespectively of the characteristics of market participants; (ii) as the number of markets increases...

Persistent link: https://www.econbiz.de/10005749761

Market Integration and Grain Price Stabilization in Europe 1500-1900. An Equilibrium Error Correction Approach.

Ejrnæs, Mette; Persson, Karl Gunnar - Økonomisk Institut, Københavns Universitet - 1997

Over the 400 years covered by this study European grain markets became increasingly integrated as measured by the speed of adjustment back to equilibrium after a shock. Market integration smoothened local supply shocks and therefore generated price stability which can be seen as having a...

Persistent link: https://www.econbiz.de/10005749585

Market Integration and Transport Costs in France 1825-1903: A Threshold Error Correction Approach to the Law of One Price

Ejrnæs, Mette; Persson, Karl Gunnar - Økonomisk Institut, Københavns Universitet - 1998

This paper argues that the appropriate standard for the analysis of commodity market integration is the transport cost adjusted law of one price. A threshold error correction model that incorporates that property is developed and applied to French wheat prices in the 19th century. This type of...

Persistent link: https://www.econbiz.de/10005749685

The Gains from Improved Market Efficiency: Trade Before and After the Transatlantic Telegraph

Ejrnæs, Mette; Persson, Karl Gunnar - Økonomisk Institut, Københavns Universitet - 2006

This paper looks at the gains from improved market efficiency in long-distance grain trade in the second half of the 19th century when violations of the law of one price were reduced due to improved information transmission. Two markets, a major export centre, Chicago, and a major importer,...

Persistent link: https://www.econbiz.de/10005749733

The Nature and Costs of Dis-Equilibrium Trade: The Case of Transatlantic Grain Exports in the 19th Century

Ejrnæs, Mette; Persson, Karl Gunnar - Økonomisk Institut, Københavns Universitet - 2005

The essential issue addressed in this paper is whether inefficient spatial arbitrage has significant welfare effects …

Persistent link: https://www.econbiz.de/10005749744

The Cost of Railroad Regulation: The Disintegration of American Agricultural Markets in the Interwar Period

Federico, Giovanni; Sharp, Paul - Økonomisk Institut, Københavns Universitet - 2011

We investigate the costs of transportation regulation using the example of agricultural markets in the United States. Using a large database of prices by state of agricultural commodities, we find that the coefficient of variation (as a measure of market integration between states) falls for...

Persistent link: https://www.econbiz.de/10009147470

Market Integration and Convergence in the World Wheat Market, 1800-2000

Federico, Giovanni; Persson, Karl Gunnar - Økonomisk Institut, Københavns Universitet

This paper argues that the conventional view which sees international transport costs reductions as the major force in price convergence cannot be upheld when the period under scrutiny is extended to the last two centuries. Domestic transport costs fell for land-locked regions while real...

Persistent link: https://www.econbiz.de/10005225433

'Mind the Gap!': Transport Costs and Price Convergence in the 19th Century Atlantic Economy.

Persson, Karl Gunnar - Økonomisk Institut, Københavns Universitet - 2002

This paper challenges the widely held view that sharply falling real transport costs closed the transatlantic gap in grain prices in the second half of the 19th century. Several new results emerge from an analysis of a new data set of weekly wheat prices and freight costs from New York to UK...

Persistent link: https://www.econbiz.de/10005225447

Optimal hedging with the cointegrated vector autoregressive model

Gatarek, Lukasz; Johansen, Søren - Økonomisk Institut, Københavns Universitet - 2014

(CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the infinite …

Persistent link: https://www.econbiz.de/10010937269

Times Series: Cointegration

Johansen, Søren - Økonomisk Institut, Københavns Universitet - 2014

An overview of results for the cointegrated VAR model for nonstationary I(1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. These include: formulation of criteria on the parameters, for the process to be nonstationary and I(1),...

Persistent link: https://www.econbiz.de/10010940436