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Linking consumer prices to wholesale prices: Error correction models for the case of Greece

  • Katsouli, E.
  • Vogiatzis, A.
  • Manitsaris, A.
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    The purpose of this paper is to investigate and measure the proportion of changes in wholesale prices transferred to consumer prices in the economy of Greece. The data used in the investigation are monthly, covering the period from 1973:1 to 2000:11, and refer to consumer price indexes and finished products wholesale price indexes. Cointegration methods are used in order to investigate the cost transfer from wholesale prices to consumer prices, or in other words to test the existence or not of a long-term equilibrium relationship between the two prices. The paper concludes that long-term relationships exist between the two prices and thus, error correction models (ECM) are developed and estimated using the Seemingly Unrelated Regression Estimation (SURE) method. Multipliers, estimated using dynamic simulation of the ECM group of equations, indicate the sensitivity of consumer prices to changes in wholesale prices.

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    File URL: http://purl.umn.edu/26429
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    Article provided by Greek Association of Agricultural Economists in its journal Agricultural Economics Review.

    Volume (Year): 03 (2002)
    Issue (Month): 1 (January)
    Pages:

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    Handle: RePEc:ags:aergaa:26429
    Contact details of provider: Web page: http://www.etagro.gr/
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    1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
    2. Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1293-1301, November.
    3. Breusch, T S, 1978. "Testing for Autocorrelation in Dynamic Linear Models," Australian Economic Papers, Wiley Blackwell, vol. 17(31), pages 334-55, December.
    4. James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
    5. Efstratios Loizou & Kostandinos Mattas & Angelos Pagoulatos, 1997. "Macro-monetary effects on agricultural prices: the case of Greek agriculture," Applied Economics Letters, Taylor & Francis Journals, vol. 4(7), pages 397-400.
    6. Dickey, David A & Pantula, Sastry G, 1987. "Determining the Ordering of Differencing in Autoregressive Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 455-61, October.
    7. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
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