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The Relationship Between Different Price Indices : Evidence from Turkey

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  • Hakan Berument
  • Seyit Mümin Cilasun
  • Yýlmaz Akdi

Abstract

A possible relationship between the Consumer Price Index and the Wholesale Price Index has been analyzed for long and short-run relationships. Conventional Engle and Granger [Estimation Test Econ. 55(1987) 2251–276] and Johansen's [J. Econ. Dyn. Control 12 (1988) 231–254] cointegration tests give mixed evidence for a possible long-run relationship between those two series. The model-free and seasonally robust periodogram-based test fails to reject the null of no-cointegration relationship. However, these two series move together in the short run.

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Bibliographic Info

Paper provided by Bilkent University, Department of Economics in its series Departmental Working Papers with number 0603.

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Date of creation: 2006
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Handle: RePEc:bil:bilpap:0603

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  1. Todd E. Clark, 1999. "The Responses Of Prices At Different Stages Of Production To Monetary Policy Shocks," The Review of Economics and Statistics, MIT Press, vol. 81(3), pages 420-433, August.
  2. Doroodian, K. & Boyd, Roy, 2003. "The linkage between oil price shocks and economic growth with inflation in the presence of technological advances: a CGE model," Energy Policy, Elsevier, vol. 31(10), pages 989-1006, August.
  3. Hakan Berument & Yýlmaz Akdi & Cemal Atakan, 2006. "An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes," Departmental Working Papers 0602, Bilkent University, Department of Economics.
  4. Hecq, Alain, 1998. "Does seasonal adjustment induce common cycles?," Economics Letters, Elsevier, vol. 59(3), pages 289-297, June.
  5. Basu, Susanto, 1995. "Intermediate Goods and Business Cycles: Implications for Productivity and Welfare," American Economic Review, American Economic Association, vol. 85(3), pages 512-31, June.
  6. Yin-Wong Cheung & Frank Westermann, 2001. "Sectoral Trends and Cycles in Germany," CESifo Working Paper Series 502, CESifo Group Munich.
  7. Jaebeom Kim, 2004. "Short run real exchange rate dynamics: a SUR approach," Applied Economics Letters, Taylor & Francis Journals, vol. 11(14), pages 909-913.
  8. Cubadda, Gianluca, 1999. "Common Cycles in Seasonal Non-stationary Time Series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 273-91, May-June.
  9. Kevin M. Murphy & Andrei Shleifer & Robert W. Vishny, 1989. "Building Blocks of Market Clearing Business Cycle Models," NBER Working Papers 3004, National Bureau of Economic Research, Inc.
  10. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  11. Philip Hans Franses & Bart Hobijn, 1997. "Critical values for unit root tests in seasonal time series," Journal of Applied Statistics, Taylor & Francis Journals, vol. 24(1), pages 25-48.
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Cited by:
  1. Aviral Kumar Tiwari & Suresh K.G. & Mohamed Arouri & Frédéric Teulon, 2014. "Causality between consumer price and producer price: Evidence from Mexico," Working Papers 2014-292, Department of Research, Ipag Business School.
  2. Rao, Nasir Hamid & Bukhari, Syed Kalim Hyder, 2010. "Asymmetric Shocks and Co-movement of Price Indices," MPRA Paper 28723, University Library of Munich, Germany.
  3. Muhammad, Shahbaz & Kumar, A.T.K. & Mohammad, Iqbal Tahir, 2012. "Does CPI Granger-Cause WPI? New Extensions from Frequency Domain Approach in Pakistan," MPRA Paper 38816, University Library of Munich, Germany, revised 14 May 2012.
  4. Yilmaz Akdi & Koray Kalafatcilar & Kivilcim Metin-Ozcan, 2010. "Application of Periodogram-Based Cointegration Test for the Analysis of the Services and Goods Sector Inflations," International Econometric Review (IER), Econometric Research Association, vol. 2(1), pages 3-10, April.
  5. Bukenya, James O. & Labys, Walter C., 2007. "Do fluctuations in wine stocks affect wine prices?," Working Papers 37317, American Association of Wine Economists.

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