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The Relationship Between Different Price Indices : Evidence from Turkey

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  • Hakan Berument
  • Seyit MŸmin Cilasun
  • Yilmaz Akdi

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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Suggested Citation

  • Hakan Berument & Seyit MŸmin Cilasun & Yilmaz Akdi, 2006. "The Relationship Between Different Price Indices : Evidence from Turkey," Working Papers 0603, Department of Economics, Bilkent University.
  • Handle: RePEc:bil:wpaper:0603
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    Cited by:

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    2. Rao, Nasir Hamid & Bukhari, Syed Kalim Hyder, 2010. "Asymmetric Shocks and Co-movement of Price Indices," MPRA Paper 28723, University Library of Munich, Germany.
    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. 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.
    5. Kharin, Sergei & Lajdova, Zuzana & Bielik, Peter, 2017. "Price transmission on the Slovak dairy market," Studies in Agricultural Economics, Research Institute for Agricultural Economics, vol. 119(3), December.
    6. Ülke, Volkan & Ergun, Ugur, 2013. "The Relationship between Consumer Price and Producer Price Indices in Turkey," MPRA Paper 59437, University Library of Munich, Germany.
    7. Erkan Erdil & Y?lmaz Akdi, 2019. "Customs Union Effect in International Trade: Turkish Case," International Journal of Business and Management, International Institute of Social and Economic Sciences, vol. 7(2), pages 43-58, November.
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    10. Ivo da Rocha Lima Filho, Roberto, 2019. "Does PPI lead CPI IN Brazil?," International Journal of Production Economics, Elsevier, vol. 214(C), pages 73-79.

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