Spatial Market Efficiency and Policy Regime Change: Seemingly Unrelated Error Correction Model Estimation
研究法国、德国和英国小麦市场的空间均衡程度，以及欧盟共同农业政策改革如何影响市场向长期均衡收敛的速度。采用似不相关回归增强的迪基-富勒和误差修正方法，发现市场高效且符合一价定律，乌拉圭回合后价格传递弹性为0.183。
Abstract We investigate the degree to which the wheat markets of France, Germany, and the United Kingdom are in spatial equilibrium and how reforms to the CAP affect the speed of convergence to the longrun relationship. Due to the interrelationship among these markets and the nonstationarity of our data we introduce a seemingly unrelated regression‐augmented Dickey‐Fuller and error correction methodology. We argue this methodology is more efficient than ordinary cointegration and error correction models. Empirically we find strong evidence of efficient spatial markets and conformity to the law of one price. Market liberalization reforms in the EU increased the comovement of domestic and world wheat prices; our post‐Uruguay Round price transmission elasticity was 0.183.