Market Integration and Nonlinear Price Transmission in 19th‐Century British Wheat Markets
研究了19世纪英国12个城市小麦市场的空间整合程度，发现非线性模型能捕捉传统阈值模型忽略的重要特征，且铁路、电报等基础设施发展后市场对冲击的调整更快。
ABSTRACT Important developments in infrastructure and institutions characterized 19th‐Century wheat markets in Great Britain. Among these developments was the construction of the national rail system which enabled cheaper and more efficient transport of grain and other bulky cargoes between inland towns and ports. We consider the degree to which wheat markets in twelve British cities were spatially integrated over the nineteenth century by applying conventional threshold models and semi‐nonparametric (generalized additive) models of spatial price linkages. Although results concerning market integration are qualitatively similar, the semi‐nonparametric models capture important nonlinearities that may be missed by conventional threshold models. Both approaches support a high degree of integration among the spatially distinct markets. We then consider two sub‐samples from 1800–1840 and 1870–1913 to capture price transmission before and after the repeal of the Corn Laws, the development of the railway system, the improvement of steam engines for ocean transport, and the introduction of the telegraph system. The nonlinear models suggest faster equilibration in response to large shocks and tighter transaction cost bands in the second period.