Engel and Rogers (1996) find that crossing the US-Canada border can considerably raise relative price volatility and … effect estimation. Moreover, using a direct decomposition method, two conditions governing the strength of the border effect …

solved by considering heteroscedasticity of the structural volatility innovations, and estimation takes place in an … market to three American countries are revealed. The impact is strongest for Canada, followed by Mexico and Brazil, which are …

commodities from 1732 to 1914. The resulting large number of relative prices (502,689) allows precise estimation of distance and …