Price Linkages of Russian Regional Markets

15 Pages Posted: 13 Sep 2006

See all articles by Konstantin Gluschenko

Konstantin Gluschenko

Institute of Economics and Industrial Engineering, Siberian Branch of the Russian Academy of Sciences; Department of Economics, Novosibirsk State University

Date Written: September 2006

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.

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

JEL Classification: C22, P22, P23, R12

Suggested Citation

Gluschenko, Konstantin, Price Linkages of Russian Regional Markets (September 2006). William Davidson Institute Working Paper No. 839, Available at SSRN: https://ssrn.com/abstract=929542 or http://dx.doi.org/10.2139/ssrn.929542

Konstantin Gluschenko (Contact Author)

Institute of Economics and Industrial Engineering, Siberian Branch of the Russian Academy of Sciences ( email )

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