RT Report
T1 Market Integration Dynamics and Asymptotic Price Convergence in Distribution
A1 García Hiernaux, Alfredo
A1 Guerrero Burbano, David Esteban
A1 McAleer, Michael
AB This 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.
SN 2341-2356
YR 2015
FD 2015-11
LK https://hdl.handle.net/20.500.14352/27534
UL https://hdl.handle.net/20.500.14352/27534
LA eng
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DS Docta Complutense
RD 9 dic 2023