A statistical analysis of wheat price fluctuations in England: 1685-1850

For some commodities and time periods, the analysis of price fluctuations m ust necessarily rely on the existence of price data alone. ii theory applic able in such circumstances is outlined for commodities that are storable, t raded ill open markets and subject to net supply shocks which are heterogen eously distributed across the months of the year. Market prices are predict ed to vary autoregressively except at times when wheat stocks become neglig ible and observed market prices exceed threshold prices (which may themselv es differ across months). The model is applied to a monthly time series of wheat prices for southern England from 1685 to 1850. The autoregressive par ameter and the threshold prices are estimated, substantial empirical suppor t being found for the models tested. Historical events from the late sevent eenth century through to the continental wars in the late eighteenth and ea rly nineteenth centuries are used to illustrate the mechanisms underlying t he theory.