The Relationship Between Different Price Indices : Evidence from Turkey
AbstractA 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) 2251â276] and Johansen's [J. Econ. Dyn. Control 12 (1988) 231â254] 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 InfoPaper provided by Bilkent University, Department of Economics in its series Departmental Working Papers with number 0603.
Date of creation: 2006
Date of revision:
Other versions of this item:
- Akdi, Yilmaz & Berument, Hakan & Mümin Cilasun, Seyit, 2006. "The relationship between different price indices: Evidence from Turkey," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 360(2), pages 483-492.
- NEP-ALL-2006-05-13 (All new papers)
- NEP-CBA-2006-05-13 (Central Banking)
- NEP-FMK-2006-05-13 (Financial Markets)
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