Factors of price dynamics in the commodity markets of Siberia

Abstract

The identification and comparative analysis of the main factors determining the dynamics of prices in the commodity markets of Siberia has been carried out. At the first stage, the product groups of Rosstat were regrouped into commodity markets in order to more fully use the data of Rosstat and the Bank of Russia Enterprise Monitoring in the component-by-component modeling of the consumer price index of the Siberia macroregion. At the second stage, for each commodity market in Siberia and each period of price dynamics (the entire series, acceleration and deceleration of price growth), using the LARS method, factors of price dynamics were selected and then, in order to arrange the selected factors according to the degree of influence on commodity prices, linear regression models were trained. It is shown that, despite the close characteristics of the initial factor spaces, the models of non-food markets included a smaller number of features. This fact, together with the lower quality of non-food models, suggests that the generated space of factors, reflecting predominantly regional specifics, is less suitable for explaining the price dynamics of non-food products, which are more tradable in nature. Using the mean reciprocal rank metric, the most significant factors in a variety of commodity markets were identified. The comparison of factors showed that in both types of markets, during periods of accelerating price growth, the influence of the RUONIA interbank lending rate and the price index for investment products is more significant, and during periods of slowdown, the influence of the index of the real exchange rate of the ruble against the dollar, producer price indices by sectors and the amount of debt on loans to individuals. It was found that in the food markets of Siberia, the main factor of inflation is producer prices in commodity markets, while the non-food markets are most affected by the RUONIA interbank lending rate. In addition, non-food markets are more influenced by world prices, which also reflects the greater integration of non-food producers into the international division of labor and, conversely, the greater localization of food value chains.