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 Stephen M. Ross Business School

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)
New Economics Papers: this item is included in nep-geo
Date: 2006-09-01
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Persistent link: http://EconPapers.repec.org/RePEc:wdi:papers:2006-839

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