IDEAS home Printed from
   My bibliography  Save this paper

Integration of the Russian Market. Empirical Analysis


  • Glushchenko Konstantin



The paper analyzes a spatial pattern of goods market integration in Russia, and characterizes the movement of the national market as a whole to integration. By the spatial pattern is meant a state of each individual region of the country: whether it is integrated, and if not, whether it moves towards integration. Time series of the cost of the basket of 25 basic foods across 75 regions of Russia for 1994-2000 with monthly frequency are used as the empirical stuff. With the use of nonlinear cointegration relationship that includes asymptotically subsiding trend capturing movement towards integration, 36% of Russian regions are found to be integrated with the national market; 44% of them are non-integrated, but are tending to integration with the national market; and 20% of regions are non-integrated having no such a trend. Analyzing distribution dynamics, σ-convergence is found to take place; and the shape of the across-region distribution of prices tends to be more regular over time. To characterize intra-distribution mobility, a stochastic kernel (the generalization of a transition probability matrix, pioneered by Danny T. Quah) is estimated. Such a kernel is also used to estimate the long-run limit of the price distribution. This limit is unimodal, predicting that “price convergence clubs” will not arise in the long run.

Suggested Citation

  • Glushchenko Konstantin, 2004. "Integration of the Russian Market. Empirical Analysis," EERC Working Paper Series 04-06e, EERC Research Network, Russia and CIS.
  • Handle: RePEc:eer:wpalle:04-06e

    Download full text from publisher

    File URL:
    Download Restriction: no

    References listed on IDEAS

    1. Konstantin Gluschenko, 2004. "Analysing changes in market integration through a cross-sectional test for the law of one price," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(2), pages 135-149.
    2. Engel, Charles & Rogers, John H, 1996. "How Wide Is the Border?," American Economic Review, American Economic Association, vol. 86(5), pages 1112-1125, December.
    3. Sala-i-Martin, Xavier X, 1996. "The Classical Approach to Convergence Analysis," Economic Journal, Royal Economic Society, vol. 106(437), pages 1019-1036, July.
    4. Whitney K. Newey & Kenneth D. West, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," Review of Economic Studies, Oxford University Press, vol. 61(4), pages 631-653.
    5. Berkowitz, Daniel & DeJong, David N., 2003. "Regional integration: an empirical assessment of Russia," Journal of Urban Economics, Elsevier, vol. 53(3), pages 541-559, May.
    6. Burton Singer & Seymour Spilerman, 1976. "Some Methodological Issues in the Analysis of Longitudinal Surveys," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 447-474 National Bureau of Economic Research, Inc.
    7. Lucio Sarno & Mark P. Taylor, 2002. "Purchasing Power Parity and the Real Exchange Rate," IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 1-5.
    8. David C. Parsley & Shang-Jin Wei, 1996. "Convergence to the Law of One Price Without Trade Barriers or Currency Fluctuations," The Quarterly Journal of Economics, Oxford University Press, vol. 111(4), pages 1211-1236.
    9. Andrei Shleifer & Daniel Treisman, 2003. "A Normal Country," NBER Working Papers 10057, National Bureau of Economic Research, Inc.
    10. Fackler, Paul L. & Goodwin, Barry K., 2001. "Spatial price analysis," Handbook of Agricultural Economics,in: B. L. Gardner & G. C. Rausser (ed.), Handbook of Agricultural Economics, edition 1, volume 1, chapter 17, pages 971-1024 Elsevier.
    11. Konstantin Gluschenko, 2003. "Market integration in Russia during the transformation years," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 11(3), pages 411-434, September.
    12. Глущенко К.П., 2001. "Пространственное Поведение Уровней Цен," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 37(3), июль.
    13. Perron, Pierre & Vogelsang, Timothy J, 1992. "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 301-320, July.
    14. Sergio Rey & Brett Montouri, 1999. "US Regional Income Convergence: A Spatial Econometric Perspective," Regional Studies, Taylor & Francis Journals, vol. 33(2), pages 143-156.
    15. Cushman, David O. & MacDonald, Ronald & Samborsky, Mark, 2001. "The law of one price for transitional Ukraine," Economics Letters, Elsevier, vol. 73(2), pages 251-256, November.
    16. Daniel Berkowitz & David N. DeJong, 2001. "The evolution of market integration in Russia," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 9(1), pages 87-104, March.
    17. Conway, Patrick, 1999. "Privatization and Price Convergence: Evidence from Four Markets in Kyiv," Journal of Comparative Economics, Elsevier, vol. 27(2), pages 231-257, June.
    18. K.P.Glushcenko, 2002. "Econometric analysis of the degree of integration of the national market," Journal "Region: Economics and Sociology", Institute of Economics and Industrial Engineering of Siberian Branch of RAS, vol. 3, pages 67-87.
    19. Bruce L. Gardner & Karen M. Brooks, 1994. "Food Prices and Market Integration in Russia: 1992–93," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 76(3), pages 641-646.
    20. K.P.Gluschenko, 2001. "Consumer prices in Russia in 1992-2000: spatial aspect," Journal "Region: Economics and Sociology", Institute of Economics and Industrial Engineering of Siberian Branch of RAS, vol. 2, pages 46-72.
    21. MacKinnon, James G, 1996. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 601-618, Nov.-Dec..
    22. Quah, Danny T, 1996. "Convergence Empirics across Economies with (Some) Capital Mobility," Journal of Economic Growth, Springer, vol. 1(1), pages 95-124, March.
    23. 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, vol. 3(2), pages 157-193.
    24. Глущенко К. П., 2001. "Индексы Цен В Западносибирских Регионах," Мир экономики и управления // Вестник НГУ. Cерия: Cоциально-экономические науки, Socionet;Новосибирский государственный университет, vol. 1(2), pages 5-20.
    25. Jarvis, Sarah & Jenkins, Stephen P, 1998. "How Much Income Mobility Is There in Britain?," Economic Journal, Royal Economic Society, vol. 108(447), pages 428-443, March.
    Full references (including those not matched with items on IDEAS)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Gluschenko, Konstantin, 2010. "The Law of One Price in the Russian Economic Space," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 17(1), pages 3-19.
    2. Konstantin Gluschenko, 2005. "Inter-Regional Price Convergence and Market Integration in Russia," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 11(4), pages 483-483, November.
    3. Gluschenko, Konstantin, 2006. "Russia's common market takes shape : price convergence and market integration among Russian regions," BOFIT Discussion Papers 7/2006, Bank of Finland, Institute for Economies in Transition.
    4. Vaona, Andrea, 2006. "Merging the purchasing power parity and the Phillips curve literatures: Regional evidence from Italy," Kiel Working Papers 1282, Kiel Institute for the World Economy (IfW).

    More about this item


    Russia; market integration; law of one price; price dispersion; convergence; Russian regions;

    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; State Space Models
    • P22 - Economic Systems - - Socialist Systems and Transition Economies - - - Prices
    • R10 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - General
    • R15 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Econometric and Input-Output Models; Other Methods

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eer:wpalle:04-06e. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anton Pashchenko). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.