Price Linkages of Russian Regional Markets
15 Pages Posted: 13 Sep 2006
Date Written: September 2006
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
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