Asymmetric Shocks and Co-movement of Price Indices
AbstractThis paper is an attempt to gauge the relationship between the long run paths of consumer price index and wholesale price index of Pakistan. For the empirical analysis the Johansen cointegration technique has been applied on monthly data (1978 to 2010) of WPI and CPI
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by eSocialSciences in its series Working Papers with number id:3569.
Date of creation: Feb 2011
Date of revision:
Note: Institutional Papers
Contact details of provider:
Web page: http://www.esocialsciences.org
price indices; consumer price index; pakistan; wholesale price index; CPI; WPI; Johansen cointegration; inflation; policymakers; GDP deflator; supply side;
Other versions of this item:
- Rao, Nasir Hamid & Bukhari, Syed Kalim Hyder, 2010. "Asymmetric Shocks and Co-movement of Price Indices," MPRA Paper 28723, University Library of Munich, Germany.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dolado, Juan José & Ericsson, N.R. & Kremers, J.J.M., 1992.
"The Power of Cointegration Tests,"
Open Access publications from Universidad Carlos III de Madrid
info:hdl:10016/3319, Universidad Carlos III de Madrid.
- Todd E. Clark, 1996.
"The responses of prices at different stages of production to monetary policy shocks,"
Research Working Paper
96-12, Federal Reserve Bank of Kansas City.
- 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.
- Hakan Berument & Seyit Mümin Cilasun & Yýlmaz Akdi, 2006.
"The Relationship Between Different Price Indices : Evidence from Turkey,"
Departmental Working Papers
0603, Bilkent University, Department of Economics.
- 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.
- Gabriel Srour, 2001. "Price-Level versus Inflation Targeting in a Small Open Economy," Working Papers 01-24, Bank of Canada.
- Sousa, Pedro A. B. de, 2001. "Independent and Accountable Central Banks and the European Central Bank," European Integration online Papers (EIoP), European Community Studies Association Austria (ECSA-A), vol. 5, 07.
- Lew Silver, J. & Dudley Wallace, T., 1980. "The lag relationship between wholesale and consumer prices : An application of the Hatanaka-Wallace procedure," Journal of Econometrics, Elsevier, vol. 12(3), pages 375-387, April.
- Engle, Robert F, 1978. "Testing Price Equations for Stability across Spectral Frequency Bands," Econometrica, Econometric Society, vol. 46(4), pages 869-81, July.
- Muhammad Shahbaz & Abu N. M. Wahid & Adnan Haider, 2010. "Empirical Psychology Between Wholesale Price And Consumer Price Indices: The Case Of Pakistan," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 55(03), pages 537-551.
- Colclough, William G. & Lange, Mark D., 1982. "Empirical evidence of causality from consumer to wholesale prices," Journal of Econometrics, Elsevier, vol. 19(2-3), pages 379-384, August.
- Gaspar, Vitor & Smets, Frank, 2002. "Monetary Policy, Price Stability and Output Gap Stabilization," International Finance, Wiley Blackwell, vol. 5(2), pages 193-211, Summer.
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
- Muhammad, Shahbaz & Kumar, A.T.K. & Mohammad, Iqbal Tahir, 2012.
"Does CPI Granger-Cause WPI? New Extensions from Frequency Domain Approach in Pakistan,"
38816, University Library of Munich, Germany, revised 14 May 2012.
- Shahbaz, Muhammad & Tiwari, Aviral Kumar & Tahir, Mohammad Iqbal, 2012. "Does CPI Granger-cause WPI? New extensions from frequency domain approach in Pakistan," Economic Modelling, Elsevier, vol. 29(5), pages 1592-1597.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Padma Prakash).
If references are entirely missing, you can add them using this form.