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Exploring 200 Years of U.S. Commodity Market Arbitrage: A Structural Time Series Model Approach
Principal Investigator(s): View help for Principal Investigator(s) James M. Harrison, United States Naval Academy
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
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application/zip | 45.6 MB | 10/31/2022 10:46:AM |
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application/zip | 259.7 MB | 10/31/2022 10:46:AM |
Project Citation:
Harrison, James M. Exploring 200 Years of U.S. Commodity Market Arbitrage: A Structural Time Series Model Approach. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2022-10-31. https://doi.org/10.3886/E182670V1
Project Description
Summary:
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This project contains code and data to replicate "Exploring 200 Years of U.S. Commodity Market Arbitrage: A Structural Time Series Model Approach." The raw data encompass more than 570,037 monthly price observations for 72 locations and 103 goods
spanning from 1700 to 1950. The cleaned data consist of 385,224 monthly observations across 70 locations and 42 goods from 1750 to 1949.
This paper uses a structural time series model to explore U.S. commodity market convergence, efficiency, and intertemporal smoothing from 1750-1949. I find near-continuous convergence that is largely concentrated in the frontier, broad antebellum efficiency gains, and intertemporal smoothing from the late 1800s onward among the most perishable goods. The results reveal new periods of integration across all three metrics and underscore the rapid rate of integration on the frontier.
Scope of Project
Geographic Coverage:
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United States
Time Period(s):
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1700 – 1949
Data Type(s):
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event/transaction data
Collection Notes:
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The dataset contains a highly unbalanced panel of US monthly commodity prices from 1700-1949.
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