The rice price co-movement in Tokugawa Japan

This paper examines the rice price co-movement in Tokugawa Japan, especially between the the Dojima Rice Market established in 1730 and the rice market in Otsu established in 1735. Both markets were representative rice markets in Tokugawa period Japan. Before applying the empirical analyses, this paper first introduces the daily price index constructed from the original historical document, gYorozu Souba Nikki (Daily memorandum of commodity price indices), h written by the contemporary rice merchant who dealt in the rice trades. From this memorandum, we can construct the daily price index both in the futures and the spot market during the period from 1798 to 1856. Based on this price index, the Grager causality tests were conducted, and it is shown that, during the period from 1798 to 1818, the prices in the Dojima were reflected in the prices in Otsu by the next day, and during the period from 1840 to 1864, the prices in Dojima were reflected in the prices in Otsu on the same day.