Price Linkages of Russian Regional Markets

Konstantin Gluschenko

No wp839, William Davidson Institute Working Papers Series from William Davidson Institute at the University of Michigan

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 (search for similar items in EconPapers)
JEL-codes: C22 P22 P23 R12 (search for similar items in EconPapers)
Pages: pages
Date: 2006-09-01
New Economics Papers: this item is included in nep-geo
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Journal Article: Price Linkages of Russian Regional Markets (2007)
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