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Market Integration Dynamics and Asymptotic Price Convergence in Distribution

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dc.contributor.authorGarcĂ­a Hiernaux, Alfredo
dc.contributor.authorGuerrero Burbano, David Esteban
dc.contributor.authorMcAleer, Michael
dc.date.accessioned2023-06-18T10:25:33Z
dc.date.available2023-06-18T10:25:33Z
dc.date.issued2015-11
dc.description.abstractThis paper analyzes the market integration process of nominal prices, develops a model to analyze market integration, and presents a test of increasing market integration. A distinction is made between the economic concepts of price convergence in mean and 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 these to price convergence in distribution, argue that the Law of One Price is not a sufficient condition for market integration, and present a test of price convergence in distribution. We apply our methodology to two different cases, namely the integration of: i) the inland grains market in 19th Century USA, and ii) the Eurozone long-term bonds market after the euro entered circulation.
dc.description.facultyFac. de Ciencias EconĂłmicas y Empresariales
dc.description.facultyInstituto Complutense de Análisis Económico (ICAE)
dc.description.refereedFALSE
dc.description.statusunpub
dc.eprint.idhttps://eprints.ucm.es/id/eprint/34143
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dc.identifier.issn2341-2356
dc.identifier.relatedurlhttps://www.ucm.es/icae
dc.identifier.relatedurlhttps://www.ucm.es/fundamentos-analisis-economico2/documentos-de-trabajo-del-icae
dc.identifier.urihttps://hdl.handle.net/20.500.14352/27534
dc.issue.number18
dc.language.isoeng
dc.page.total39
dc.relation.ispartofseriesDocumentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
dc.rights.accessRightsopen access
dc.subject.jelC22
dc.subject.jelC32
dc.subject.jelN70
dc.subject.jelF15
dc.subject.keywordRegional and global markets
dc.subject.keywordIntegration
dc.subject.keywordAsymptotic price convergence
dc.subject.keywordMean
dc.subject.keywordVariance
dc.subject.keywordDistribution.
dc.subject.ucmEconometrĂ­a (EconomĂ­a)
dc.subject.unesco5302 EconometrĂ­a
dc.titleMarket Integration Dynamics and Asymptotic Price Convergence in Distribution
dc.typetechnical report
dc.volume.number2015
dspace.entity.typePublication
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