May 2022.
Abstract: I suggest an alternative dimension to investigate the level of market integration among spatially differentiated goods. Specifically, I augment the price transmission ratio framework to accommodate varying levels of integration across different horizons. I implement the method to the U.S. wholesale electricity setting over the period 2001-2012. Using shocks of varying persistence, such as daily outages and more seasonal movements in river discharge, I estimate the price transmission ratio for wholesale electricity of different regions for different horizons. I find high price transmission ratios at frequencies of a week or longer, while at higher frequencies the price transmission ratios across locations are small or negligible. The results suggest that investigations of market integration and market power are sensitive to the horizon under study.
(Revised version coming soon!)