The Law of One Price Over 700 Years
IMF Working Papers, November 1, 2001
Source details
- Canonical URL
- The Law of One Price Over 700 Years
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Bibliographic details
- Authors: Kenneth Rogoff, Kenneth Froot, Michael Kim
- Published: November 1, 2001
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451858693.001
Data and scope
- Annual commodity price data from England and Holland spanning seven centuries.
- Transaction prices on seven commodities: barley, butter, cheese, oats, peas, silver, and wheat.
- Pound/shilling nominal exchange rates included, with series going back, in some cases, to 1273.
- Pages: 43
- Volume: 2001
- Issue: 174
- Series: Working Paper No. 2001/174
- DOI: https://doi.org/10.5089/9781451858693.001
- Stock No: WPIEA1742001
- ISBN: 9781451858693
- ISSN: 1018-5941
- Publication date: November 1, 2001
Key findings
- The magnitude, volatility, and persistence of deviations from the law of one price have not declined by as much as one might expect over the seven-century span.
- This persistence of price deviations occurs despite:
- lower transport costs,
- reduced trade protection,
- and fewer wars and plagues in the modern era.
- The analysis is consistent with growing evidence that goods-market arbitrage remains highly imperfect, even today.
Subject areas and keywords
- Subject: Agricultural commodities, Commodities, Commodity prices, Metal prices, Prices, Silver
- Keywords: Agricultural commodities, commodity price series, Commodity prices, Europe, exchange rates, Metal prices, price deviation, price differential, price movement, price trend, purchasing power parity, Silver, simple average, standard deviation, standard error, time series, WP
Authors and publication type
- By Kenneth Rogoff, Kenneth Froot, Michael Kim
- Publication type: IMF Working Papers
This content unit: "The Law of One Price Over 700 Years", IMF Working Papers 2001, 174 (2001).
Content in this bundle
- The Law of One Price Over 700 Years - WP/01/174