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Causality between food prices and other goods prices: Evidence from the EU member-states

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  • Voyiatzis, A.
  • Pallis, D.
  • Katsouli, E.

Abstract

The purpose of this paper was to investigate and measure the causation between food consumer price index and all-other-items consumer price index in 14 European Union member-states, using monthly data covering the period from 1985:12 to 1998:12. For this purpose a four stages approach was employed: Firstly, the non-stationarity of the data involved was investigated using the Augmented Dickey-Fuller tests. Secondly, causation was investigated using the Granger causality tests. Thirdly, the long-run equilibrium relationship between the two variables involved was estimated employing the Johansen cointegration approach. Fourthly, the short-term disequilibrium relationship between these two variables was estimated employing the Error-Correction-Models methodology. The findings of the paper generally support the hypothesis that for the vast majority of the EU member-states there exist a unidirectional Granger causality from all-other-items consumer prices to food consumer prices.

Suggested Citation

  • Voyiatzis, A. & Pallis, D. & Katsouli, E., 2002. "Causality between food prices and other goods prices: Evidence from the EU member-states," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 3(2), August.
  • Handle: RePEc:ags:aergaa:26463
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    File URL: http://purl.umn.edu/26463
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    References listed on IDEAS

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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 1057-1072, June.
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    Cited by:

    1. Bulent Guloglu & Saban Nazlioglu, 2013. "Impacts of Inflation on Agricultural Prices: Panel Smooth Transition Regression Analysis," Research Journal of Politics, Economics and Management, Sakarya University, Faculty of Economics and Administrative Sciences, vol. 1(1), pages 1-20, January.

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    Keywords

    Demand and Price Analysis;

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