We develop a Bayesian spatio-temporal model to study pre-industrial grain market integration during the Finnish famine of the 1860s. Our model takes into account several problematic features often present when analysing multiple spatially interdependent time series. For example, compared with the error correction methodology commonly applied in econometrics, our approach allows simultaneous modeling of multiple interdependent time series avoiding cumbersome statistical testing needed to predetermine the market leader as a point of reference. Furthermore, introducing a flexible spatio-temporal structure enables analysing detailed regional and temporal dynamics of the market mechanisms. Applying the proposed method, we detected spatially asymmetric "price ripples" that spread out from the shock origin. We corroborated the existing literature on the speedier adjustment to emerging price differentials during the famine, but we observed this principally in urban markets. This hastened return to long-run equilibrium means faster and longer travel of price shocks, implying prolonged out-of-equilibrium dynamics, proliferated influence of market shocks, and, importantly, a wider spread of famine conditions.
翻译:我们开发了一个贝叶西亚时空模型,以研究1860年代芬兰饥荒期间工业化前谷物市场一体化情况。我们的模型在分析多种空间相互依存的时间序列时,考虑到经常存在的几个问题。例如,与通常在计量经济学中采用的错误纠正方法相比,我们的方法允许同时模拟多种相互依存的时间序列,避免预先确定市场领导者所需的繁琐统计测试;此外,采用灵活的时空结构,可以分析详细的市场机制区域和时间动态。我们运用了拟议方法,发现了从冲击源传播的空间不对称的“价格波纹”。我们证实了关于饥荒期间对新出现的价格差异作出更迅速调整的现有文献,但我们主要在城市市场观察到这一点。这种快速恢复长期平衡意味着价格冲击的快速和更长的旅程,意味着长期的平衡动态、市场冲击的蔓延影响以及更为广泛的饥荒条件。