A Statistical Analysis of Wheat Price Fluctuations in England: 1685–1850
针对仅依赖价格数据的可储存商品，提出一个自回归模型，并应用于1685–1850年英格兰南部小麦月价格数据，估计了自回归参数和阈值价格，历史事件验证了理论机制。
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.