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A statistical analysis of wheat price fluctuations in England: 1685-1850

Chambers, MJ and Bailey, RE (1999) 'A statistical analysis of wheat price fluctuations in England: 1685-1850.' Journal of Agricultural Economics, 50 (3). 564 - 588. ISSN 0021-857X

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Abstract

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.

Item Type: Article
Subjects: D History General and Old World > DA Great Britain
H Social Sciences > HA Statistics
S Agriculture > S Agriculture (General)
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 04 Jul 2012 22:13
Last Modified: 05 Feb 2019 18:15
URI: http://repository.essex.ac.uk/id/eprint/2782

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