Izvestiya of Saratov University.

Economics. Management. Law

ISSN 1994-2540 (Print)
ISSN 2542-1956 (Online)
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Language: 
Russian
Heading: 
Management
Article type: 
Article
UDC: 
332.1:338.5
DOI: 
10.18500/1994-2540-2021-21-4-398-409

Exchange rate pass-through in Russian regions: Searching for spatial dependencies

Autors: 
Korneychenko Ekaterina Nikolaevna, Orenburg State University
Novopashina Alina Nikolaevna, Economic Research Institute of Far Eastern Branch of the Russian Academy of Sciences
Pikhteev Yury Nikolaevich, Lobachevsky State University of Nizhny Novgorod
Abstract: 

Introduction. The article examines the spatial heterogeneity and factors of the exchange rate pass-through effect in consumer prices in Russian regions. Two hypotheses are tested. The first hypothesis is that there are differences in the magnitude of the passthrough between the Russian regions, the second is the significant influence of spatial relationships between regions on the magnitude of the pass-through effect. Theoretical analysis. The factors of the interregional differences in the pass-through effect are analyzed: the share of imports in the consumption structure, the share of value added produced in the domestic market in the final price of goods, transaction costs, the level of competition and the market structure. Empirical analysis. First pass-through estimates were obtained by means of vector autoregression model. Then the spatial dependence of the exchange rate pass-through was investigated on the basis of the global Moran and Geary indices, LISA, SAR and SEM models. Results. The results indicate the heterogeneity of the pass-through effect in Russian regions, which confirms the first of the hypotheses put forward. Confirmation of the second hypothesis was found only for food products in the short term, which is due to the nature of commodity flows between Russian regions. It is concluded that it is necessary to study the spatial relationships of the pass-through effect based on disaggregated prices.

Key words: 
exchange rate
consumer prices
pass-through
Russian regions
spatial correlation
vector autoregression
spatial error mode
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Received: 
06.08.2021
Accepted: 
10.09.2021