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Price convergence and market integration in Russia

  • Konstantin Gluschenko

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After a period of growing disconnectedness of regional markets following the 1992 price liberalization in Russia, a process of improvement in market integration started since about 1994. This paper analyzes the spatial pattern of goods market integration in the country in 1994-2000, characterizing Russian regions into three states: integrated with a benchmark region, not integrated but tending toward integration with it, and not integrated and not tending toward integration. The standard AR(1) model serves to test for market integration. To capture a movement toward integration (price convergence), a nonlinear time series model with an asymptotically decaying trend is proposed. The results obtained suggest that only a bit more than one fifth of the Russian regions can be deemed not integrated and not tending toward integration with the benchmarkregion over 1994–2000.

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Paper provided by William Davidson Institute at the University of Michigan in its series William Davidson Institute Working Papers Series with number wp999.

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Length: pages
Date of creation: 01 Sep 2010
Date of revision:
Handle: RePEc:wdi:papers:2010-999
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  1. Bentzen, Jan, 2003. "An empirical analysis of gasoline price convergence for 20 OECD countries," Working Papers 03-19, University of Aarhus, Aarhus School of Business, Department of Economics.
  2. 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.
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  7. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
  8. Perron, Pierre, 1990. "Testing for a Unit Root in a Time Series with a Changing Mean," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 153-62, April.
  9. Serena Ng & Pierre Perron, 2001. "A Note on the Selection of Time Series Models," Boston College Working Papers in Economics 500, Boston College Department of Economics.
  10. Bernard, A.B. & Durlauf, S.N., 1993. "Convergence in International Output," Working papers 93-7, Massachusetts Institute of Technology (MIT), Department of Economics.
  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, 09.
  12. Gerald Carlino & Leonard Mills, 1993. "Testing neoclassical convergence in regional incomes and earnings," Working Papers 93-22, Federal Reserve Bank of Philadelphia.
  13. Newey, W.K. & West, K.D., 1992. "Automatic Lag Selection in Covariance Matrix Estimation," Working papers 9220, Wisconsin Madison - Social Systems.
  14. Konstantin Gluschenko, 2010. "Price convergence and market integration in Russia," William Davidson Institute Working Papers Series wp999, William Davidson Institute at the University of Michigan.
  15. Gluschenko, Konstantin, 2004. "Nonlinearly testing for a unit root in the presence of a break in the mean," MPRA Paper 678, University Library of Munich, Germany, revised Sep 2005.
  16. Berkowitz, Daniel & DeJong, David N., 1999. "Russia's internal border," Regional Science and Urban Economics, Elsevier, vol. 29(5), pages 633-649, September.
  17. 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 601-18, Nov.-Dec..
  18. Konstantin Gluschenko, 2008. "Anatomy of Russia's Market Segmentation," LICOS Discussion Papers 21108, LICOS - Centre for Institutions and Economic Performance, KU Leuven.
  19. 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.
  20. Janet Ceglowski, 2003. "The law of one price: intranational evidence for Canada," Canadian Journal of Economics, Canadian Economics Association, vol. 36(2), pages 373-400, May.
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