Shock Therapy? An I (2) Cointegration Analysis of the Russian Stabilization
This 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).
|Date of creation:||2003|
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