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Decomposing time-frequency relationship between producer price and consumer price indices in Romania through wavelet analysis

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  • Tiwari, Aviral Kumar
  • Mutascu, Mihai
  • Andries, Alin Marius

Abstract

This study analyses Granger-causality between the return series of CPI and PPI (i.e., inflation measured by CPI and PPI) for Romania, by using monthly data covering the period of 1991m1 to 2011m11. To analyse the issue in depth, this study decomposes the time-frequency relationship between CPI- and PPI-based inflation through a continuous wavelet approach. Our results provide strong evidence that there are cyclical effects from variables (as variables are observed in phase), while anti-cyclical effects are not observed.

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Bibliographic Info

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 31 (2013)
Issue (Month): C ()
Pages: 151-159

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Handle: RePEc:eee:ecmode:v:31:y:2013:i:c:p:151-159

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Web page: http://www.elsevier.com/locate/inca/30411

Related research

Keywords: Producer Price Index; Consumer Price Index; Time-frequency analysis; Non-stationary time-series; Wavelets;

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References

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Citations

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Cited by:
  1. Chaker Aloui & Besma Hkiri & Duc Khuong Nguyen & Hela Ben Hamida, 2014. "Real growth co-movements among the GCC+2 countries: Evidence from timefrequency analysis," Working Papers 2014-568, Department of Research, Ipag Business School.
  2. Tsangyao Chang & Xiao-lin Li & Stephen M. Miller & Mehmet Balcilar & Rangan Gupta, 2013. "The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains," Working Papers 201365, University of Pretoria, Department of Economics.
  3. Tiwari, Aviral Kumar & Suresh K.G., & Arouri, Mohamed & Teulon, Frédéric, 2014. "Causality between consumer price and producer price: Evidence from Mexico," Economic Modelling, Elsevier, Elsevier, vol. 36(C), pages 432-440.
  4. Tiwari, Aviral Kumar & Oros, Cornel & Albulescu, Claudiu Tiberiu, 2014. "Revisiting the inflation–output gap relationship for France using a wavelet transform approach," Economic Modelling, Elsevier, Elsevier, vol. 37(C), pages 464-475.
  5. Bouoiyour, Jamal & Selmi, Refk, 2014. "How Robust is the Connection between Exchange Rate Uncertainty and Tunisia’s Exports?," MPRA Paper 57505, University Library of Munich, Germany.

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