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The relationship between different price indices: Evidence from Turkey

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  • Akdi, Yilmaz
  • Berument, Hakan
  • Mümin Cilasun, Seyit

Abstract

A 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) 2251–276] and Johansen's [J. Econ. Dyn. Control 12 (1988) 231–254] 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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  • 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.
  • Handle: RePEc:eee:phsmap:v:360:y:2006:i:2:p:483-492 DOI: 10.1016/j.physa.2005.05.037
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    References listed on IDEAS

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    Cited by:

    1. Rao, Nasir Hamid & Bukhari, Syed Kalim Hyder, 2010. "Asymmetric Shocks and Co-movement of Price Indices," MPRA Paper 28723, University Library of Munich, Germany.
    2. 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.
    3. Muhammad Imtiaz Subhani & Syed Akif Hasan & Amber Osman & Junaid Minhas, 2013. "Are the inflations of world co-integrated?," South Asian Journal of Management Sciences (SAJMS), Iqra University, Iqra University, vol. 7(1), pages 9-18, Spring.
    4. Ülke, Volkan & Ergun, Ugur, 2013. "The Relationship between Consumer Price and Producer Price Indices in Turkey," MPRA Paper 59437, University Library of Munich, Germany.
    5. Bukenya, James O. & Labys, Walter C., 2007. "Do fluctuations in wine stocks affect wine prices?," Working Papers 37317, American Association of Wine Economists.
    6. 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.

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    Keywords

    Cointegration; Periodogram; Price indices;

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