Empirically testing the law of one price in an international commodity market: A rational expectations application to the natural rubber market
构建了一个包含商品套利者预期的模型，用于检验天然橡胶市场中的一价定律，发现考虑预期因素可能有助于验证该定律。
The Law of One Price (LOP) is an important ingredient in theories of international trade and exchange rate determination. An important shortcoming of the existing empirical literature is that parity is typically assumed to hold contemporaneously. This overlooks the fact that international commodity arbitrage takes place over tim~> <<8 well as across spatially separated markets. Recognizing this fact, we expect to see parity holding for expected prices. A model which incorporates the expectations of commodity arbitragers is constructed and used to test the LOP in the natural rubber market. Results indicate that the inclusion of expectations may be of value when considering the LOP.