Shock Therapy? An I (2) Cointegration Analysis of the Russian Stabilization
AbstractThis paper investigates an array of nominal systems for the Russian economy, of domestic price level, import prices, exchange rates, money stock, barter, nominal wages, and output, and conducts I(1) and I(2) cointegration analyses. Post-stabilization monthly data are used, 1995:6-2001:5. The price-wage spiral presence is tested, and the effects of money and real exchange rate. In the last system, barter is introduced, and the effect of that on the comparative Polish-Russian analysis is discussed. It is found that in Russia inflation has had mostly monetary roots, that exchange rate was important for the price dynamics, and that ruble was inefficiently over-valued. While the wage-price spiral was not found in the system without barter, in the system corrected for barter the role of wages significantly increased. The paper concludes with a comparative policy analysis to Poland, which updates the previous version in Vostroknutova (2003).
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Bibliographic InfoPaper provided by European University Institute in its series Economics Working Papers with number ECO2003/16.
Date of creation: 2003
Date of revision:
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cointegration; I(2); monetary policy; incomes policy; stabilization; Russia;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E63 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
- E64 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Incomes Policy; Price Policy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-07-29 (All new papers)
- NEP-EEC-2003-07-29 (European Economics)
- NEP-ETS-2003-07-29 (Econometric Time Series)
- NEP-IFN-2003-07-29 (International Finance)
- NEP-MAC-2003-07-29 (Macroeconomics)
- NEP-RMG-2003-07-29 (Risk Management)
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