Market Integration, Efficiency of Arbitrage, and Imperfect Competition: Methodology and Application to U.S. Celery
开发了一种检验区域间商品套利效率的方法，仅需价格时间序列数据，可估计市场整合、套利效率、营销价差、产品替代性和竞争程度，并应用于美国芹菜市场，发现加州和佛罗里达芹菜存在显著套利低效。
Abstract This paper develops and applies a methodology to test for efficiency of interregional commodity arbitrage. Application of the methodology requires only time‐series data on prices for alternative cities, regions, countries, or product forms. Yet, the approach is capable of generating evidence on a number of market parameters including market integration, arbitrage efficiency, the magnitude of marketing margins, product substitutability, and competitiveness of markets. Estimation is based on a switching regression model with three regimes: efficient arbitrage, relative shortage, and relative glut. Results from application of the model to U.S. celery marketing indicated significant departures from efficient arbitrage for both California and Florida celery.