Exploring 200 years of U.S. commodity market integration: 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 V2

Name File Type Size Last Modified
Data.zip application/zip 57.4 MB 01/24/2023 06:56:AM
replication.zip application/zip 122.3 MB 01/24/2023 06:47:AM

Project Citation: 

Harrison, James M. Exploring 200 years of U.S. commodity market integration: A structural time series model approach. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2023-01-24. https://doi.org/10.3886/E182670V2

Project Description

Summary:  View help for Summary This project contains code and data to replicate "Exploring 200 years of U.S. commodity market integration: A structural time series model approach." 

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.

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.

Scope of Project

Geographic Coverage:  View help for Geographic Coverage United States
Time Period(s):  View help for Time Period(s) 1700 – 1949
Universe:  View help for Universe Cities and States from 1700-1949
Data Type(s):  View help for Data Type(s) event/transaction data
Collection Notes:  View help for Collection Notes The dataset contains a highly unbalanced panel of US monthly commodity prices from 1700-1949.


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Published Versions

V2 [2023-01-24]

V1 [2022-10-31]

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