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Price Linkages of Russian Regional Markets

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  • Konstantin Gluschenko

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Abstract

Exploiting time series of the cost of a staples basket across 75 Russian regions over 1994-2000, price linkages of the regions are analyzed with the use of Granger causality as a tool. Price linkages of Russian regions are found extensive: on average, an individual regional market is linked through prices with 62% of others. Neither isolated clusters of regions nor autarkic regions are revealed; each region is linked with all others either directly or indirectly, through a chain of no more than two intermediate regions. Spatial autocorrelation is found to be widespread, taking place in two thirds of regions.

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File URL: http://www.wdi.umich.edu/files/Publications/WorkingPapers/wp839.pdf
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Bibliographic Info

Paper provided by William Davidson Institute at the University of Michigan in its series William Davidson Institute Working Papers Series with number wp839.

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Length: pages
Date of creation: 01 Sep 2006
Date of revision:
Handle: RePEc:wdi:papers:2006-839

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Keywords: market integration; Granger causality; integration clubs; spatial autocorrelation;

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  1. Barry K. Goodwin & Thomas J. Grennes & Christine McCurdy, 1999. "Spatial price dynamics and integration in russian food markets," Journal of Economic Policy Reform, Taylor & Francis Journals, Taylor & Francis Journals, vol. 3(2), pages 157-193.
  2. Gluschenko, Konstantin, 2006. "Russia’s common market takes shape: Price convergence and market integration among Russian regions," BOFIT Discussion Papers, Bank of Finland, Institute for Economies in Transition 7/2006, Bank of Finland, Institute for Economies in Transition.
  3. Paula De Masi & Vincent Koen, 1996. "Relative Price Convergence in Russia," IMF Staff Papers, Palgrave Macmillan, vol. 43(1), pages 97-122, March.
  4. Gluschenko, Konstantin, 2011. "Price convergence and market integration in Russia," Regional Science and Urban Economics, Elsevier, Elsevier, vol. 41(2), pages 160-172, March.
  5. Berkowitz, Daniel & DeJong, David N. & Husted, Steven, 1998. "Quantifying Price Liberalization in Russia," Journal of Comparative Economics, Elsevier, vol. 26(4), pages 735-760, December.
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