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Decomposing time-frequency relationship between producer price and consumer price indices in Romania through wavelet analysis


  • Tiwari, Aviral Kumar
  • Mutascu, Mihai
  • Andries, Alin Marius


This study analyses Granger-causality between the return series of CPI and PPI (i.e., inflation measured by CPI and PPI) for Romania, by using monthly data covering the period of 1991m1 to 2011m11. To analyse the issue in depth, this study decomposes the time-frequency relationship between CPI- and PPI-based inflation through a continuous wavelet approach. Our results provide strong evidence that there are cyclical effects from variables (as variables are observed in phase), while anti-cyclical effects are not observed.

Suggested Citation

  • Tiwari, Aviral Kumar & Mutascu, Mihai & Andries, Alin Marius, 2013. "Decomposing time-frequency relationship between producer price and consumer price indices in Romania through wavelet analysis," Economic Modelling, Elsevier, vol. 31(C), pages 151-159.
  • Handle: RePEc:eee:ecmode:v:31:y:2013:i:c:p:151-159 DOI: 10.1016/j.econmod.2012.11.057

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    References listed on IDEAS

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    Cited by:

    1. Tsangyao Chang & Xiao-lin Li & Stephen M. Miller & Mehmet Balcilar & Rangan Gupta, 2013. "The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains," Working papers 2013-34, University of Connecticut, Department of Economics.
    2. Bogdan CAPRARU & Norel Ionut MOISE & Andrei RADULESCU, 2015. "The Monetary Policy Of The National Bank Of Romania In The Inflation Targeting Era. A Taylor Rule Approach," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 16, pages 91-102, December.
    3. Shinhye Chang & Rangan Gupta & Stephen M. Miller, 2018. "Causality Between Per Capita Real GDP and Income Inequality in the U.S.: Evidence from a Wavelet Analysis," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 135(1), pages 269-289, January.
    4. Olaolu Richard Olayeni, 2016. "Causality in Continuous Wavelet Transform Without Spectral Matrix Factorization: Theory and Application," Computational Economics, Springer;Society for Computational Economics, vol. 47(3), pages 321-340, March.
    5. Rahim, Adam Mohamed & Masih, Mansur, 2014. "Portfolio Diversification Benefits of Islamic Stocks and Malaysia’s Major Trading Partners:MGARCH-DCC and Wavelet Correlation Approaches," MPRA Paper 58903, University Library of Munich, Germany.
    6. MUTASCU Mihai & PEREAU Jean-Christophe & URSU Eugen, 2016. "A Wavelet Analysis of the Environmental Kuznets Curve in France," Cahiers du GREThA 2016-10, Groupe de Recherche en Economie Théorique et Appliquée.
    7. Wen-Yi Chen & Miin-Jye Wen & Yu-Hui Lin & Yia-Wun Liang, 2016. "On the relationship between healthcare expenditure and longevity: evidence from the continuous wavelet analyses," Quality & Quantity: International Journal of Methodology, Springer, vol. 50(3), pages 1041-1057, May.
    8. Aviral Tiwari & Niyati Bhanja & Arif Dar & Olaolu Olayeni, 2015. "Analyzing Time–Frequency Based Co-movement in Inflation: Evidence from G-7 Countries," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 91-109, January.
    9. Chi-Wei SU & Zong-Liang YAO & Hsu-Ling CHANG, 2016. "The relationship between output and asset prices: A time – and frequency – varying approach," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(1(606), S), pages 57-76, Spring.
    10. Tiwari, Aviral Kumar & Oros, Cornel & Albulescu, Claudiu Tiberiu, 2014. "Revisiting the inflation–output gap relationship for France using a wavelet transform approach," Economic Modelling, Elsevier, vol. 37(C), pages 464-475.
    11. Jiang, Chun & Chang, Tsangyao & Li, Xiao-Lin, 2015. "Money growth and inflation in China: New evidence from a wavelet analysis," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 249-261.
    12. Wen-Yi Chen, 2016. "Health progress and economic growth in the USA: the continuous wavelet analysis," Empirical Economics, Springer, vol. 50(3), pages 831-855, May.
    13. Ferrer, Román & Bolós, Vicente J. & Benítez, Rafael, 2016. "Interest rate changes and stock returns: A European multi-country study with wavelets," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 1-12.
    14. repec:eee:ecmode:v:67:y:2017:i:c:p:261-274 is not listed on IDEAS
    15. repec:ipg:wpaper:2014-568 is not listed on IDEAS
    16. Li, Xiao-Lin & Chang, Tsangyao & Miller, Stephen M. & Balcilar, Mehmet & Gupta, Rangan, 2015. "The co-movement and causality between the U.S. housing and stock markets in the time and frequency domains," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 220-233.
    17. Bouoiyour, Jamal & Selmi, Refk, 2014. "How Robust is the Connection between Exchange Rate Uncertainty and Tunisia’s Exports?," MPRA Paper 57505, University Library of Munich, Germany.
    18. Ülke, Volkan & Ergun, Ugur, 2013. "The Relationship between Consumer Price and Producer Price Indices in Turkey," MPRA Paper 59437, University Library of Munich, Germany.
    19. Tiwari, Aviral Kumar & Suresh K.G., & Arouri, Mohamed & Teulon, Frédéric, 2014. "Causality between consumer price and producer price: Evidence from Mexico," Economic Modelling, Elsevier, vol. 36(C), pages 432-440.
    20. Rahim, Adam Mohamed & Masih, Mansur, 2016. "Portfolio diversification benefits of Islamic investors with their major trading partners: Evidence from Malaysia based on MGARCH-DCC and wavelet approaches," Economic Modelling, Elsevier, vol. 54(C), pages 425-438.
    21. Nikolaos Antonakakis & Tsangyao Chang & Juncal Cunado & Rangan Gupta, 2016. "The Relationship between Commodity Markets and Commodity Mutual Funds: A Wavelet-Based Analysis," Working Papers 201619, University of Pretoria, Department of Economics.

    More about this item


    Producer Price Index; Consumer Price Index; Time-frequency analysis; Non-stationary time-series; Wavelets;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General


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