A1 Journal article (refereed)
A Bayesian spatio‐temporal analysis of markets during the Finnish 1860s famine (2022)

Pasanen, T., Voutilainen, M., Helske, J., & Högmander, H. (2022). A Bayesian spatio‐temporal analysis of markets during the Finnish 1860s famine. Journal of the Royal Statistical Society Series C: Applied Statistics, 71(5), 1282-1302. https://doi.org/10.1111/rssc.12577

JYU authors or editors

Publication details

All authors or editors: Pasanen, Tiia‐Maria; Voutilainen, Miikka; Helske, Jouni; Högmander, Harri

Journal or series: Journal of the Royal Statistical Society Series C: Applied Statistics

ISSN: 0035-9254

eISSN: 1467-9876

Publication year: 2022

Publication date: 20/06/2022

Volume: 71

Issue number: 5

Pages range: 1282-1302

Publisher: Wiley-Blackwell

Publication country: United Kingdom

Publication language: English

DOI: https://doi.org/10.1111/rssc.12577

Publication open access: Openly available

Publication channel open access: Partially open access channel

Publication is parallel published (JYX): https://jyx.jyu.fi/handle/123456789/82081

Web address of parallel published publication (pre-print): https://arxiv.org/abs/2106.06268

Abstract

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 modelling 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.

Keywords: famine of 1866-1868; grain trade; markets (systems); price development; economic history; econometric models; time series; time-series analysis; Bayesian analysis

Free keywords: Bayesian statistics; error correction model; Finnish famine; marketintegration; spatio-temporal model

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Ministry reporting: Yes

Reporting Year: 2022

JUFO rating: 2