Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/87412
Authors: 
García-Hiernaux, Alfredo
Guerrero, David E.
McAleer, Michael
Year of Publication: 
2013
Series/Report no.: 
Tinbergen Institute Discussion Paper 13-128/III
Abstract: 
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.
Subjects: 
Regional and global markets
Integration
Asymptotic price convergence
Mean
Variance
Distribution
JEL: 
C22
C32
N70
F15
Document Type: 
Working Paper

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