A Statistical Analysis of Wheat Price Fluctuations in England: 1685-1850

For some commodities and time periods, the analysis of price fluctuations must necessarily rely on the existence of price data alone. A theory applicable in such circumstances is outlined for commodities that are storable, traded in open markets and subject to net supply shocks which are heterogeneo...

Full description

Saved in:
Bibliographic Details
Published inJournal of agricultural economics Vol. 50; no. 3; pp. 564 - 588
Main Authors Chambers, Marcus J., Bailey, Roy E.
Format Journal Article
LanguageEnglish
Published Oxford, UK Blackwell Publishing Ltd 01.09.1999
Blackwell
Wiley Blackwell
Agricultural Economics Society
SeriesJournal of Agricultural Economics
Subjects
1685-1850
Agricultural economics
Economic history
England
England (Süd)
Prices
United Kingdom
Weizenpolitik
Wheat
Zeitreihenanalyse
Online AccessGet full text
ISSN0021-857X
1477-9552
DOI10.1111/j.1477-9552.1999.tb00899.x

Cover

More Information
Summary:For some commodities and time periods, the analysis of price fluctuations must necessarily rely on the existence of price data alone. A theory applicable in such circumstances is outlined for commodities that are storable, traded in open markets and subject to net supply shocks which are heterogeneously distributed across the months of the year. Market prices are predicted to vary autoregressively except at times when wheat stocks become negligible and observed market prices exceed threshold prices (which may themselves differ across months). The model is applied to a monthly time series of wheat prices for southern England from 1685 to 1850. The autoregressive parameter and the threshold prices are estimated, substantial empirical support being found for the models tested. Historical events from the late seventeenth century through to the continental wars in the late eighteenth and early nineteenth centuries are used to illustrate the mechanisms underlying the theory.
Bibliography:ArticleID:JAGE564
istex:DEE327FF85FDD3EE8249CB0BBB2D10ADA3A8B4F8
ark:/67375/WNG-WLM0QGRX-3
The authors are Professor and Senior Lecturer, respectively, in the Department of Economics at the University of Essex. They are grateful to J. Oeppen and R. S. Schofield, of the ESRC Cambridge Group for the History of Population and Social Structure, who went to the trouble of locating and extracting some of the data used here. Joanne McGarry provided valuable research assistance in constructing the price series. Professors M. Overton and M. E. Turner offered helpful guidance at a crucial juncture. Constructive criticism from two referees improved both the substance and exposition of the paper, though the authors retain their culpability for all remaining errors.
ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ObjectType-Article-2
ObjectType-Feature-1
content type line 23
ISSN:0021-857X
1477-9552
DOI:10.1111/j.1477-9552.1999.tb00899.x