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Asymmetric Shocks and Co-movement of Price Indices


  • Nasir Hamid Rao
  • Syed Kalim Hyder Bukhari


This paper is an attempt to gauge the relationship between the long run paths of consumer price index and wholesale price index of Pakistan. For the empirical analysis the Johansen cointegration technique has been applied on monthly data (1978 to 2010) of WPI and CPI

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  • Nasir Hamid Rao & Syed Kalim Hyder Bukhari, 2011. "Asymmetric Shocks and Co-movement of Price Indices," Working Papers id:3569, eSocialSciences.
  • Handle: RePEc:ess:wpaper:id:3569 Note: Institutional Papers

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    References listed on IDEAS

    1. Hakkio, Craig S. & Rush, Mark, 1991. "Cointegration: how short is the long run?," Journal of International Money and Finance, Elsevier, vol. 10(4), pages 571-581, December.
    2. MacKinnon, James G & Haug, Alfred A & Michelis, Leo, 1999. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 563-577, Sept.-Oct.
    3. 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.
    4. Peter C. B. Phillips & Bruce E. Hansen, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Oxford University Press, vol. 57(1), pages 99-125.
    5. Gaspar, Vitor & Smets, Frank, 2002. "Monetary Policy, Price Stability and Output Gap Stabilization," International Finance, Wiley Blackwell, vol. 5(2), pages 193-211, Summer.
    6. Kremers, Jeroen J M & Ericsson, Neil R & Dolado, Juan J, 1992. "The Power of Cointegration Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 325-348, August.
    7. Carl E. Walsh, 1995. "Recent Central-Bank Reforms and the Role of Price Stability as the Sole Objective of Monetary Policy," NBER Chapters,in: NBER Macroeconomics Annual 1995, Volume 10, pages 237-252 National Bureau of Economic Research, Inc.
    8. Lew Silver, J. & Dudley Wallace, T., 1980. "The lag relationship between wholesale and consumer prices : An application of the Hatanaka-Wallace procedure," Journal of Econometrics, Elsevier, vol. 12(3), pages 375-387, April.
    9. Stephen G Cecchetti, 2010. "Monetary policy and the measurement of inflation: prices, wages and expectations," BIS Papers chapters,in: Bank for International Settlements (ed.), Monetary policy and the measurement of inflation: prices, wages and expectations, volume 49, pages 1-11 Bank for International Settlements.
    10. Colclough, William G. & Lange, Mark D., 1982. "Empirical evidence of causality from consumer to wholesale prices," Journal of Econometrics, Elsevier, vol. 19(2-3), pages 379-384, August.
    11. Sousa, Pedro A. B. de, 2001. "Independent and Accountable Central Banks and the European Central Bank," European Integration online Papers (EIoP), European Community Studies Association Austria (ECSA-A), vol. 5, July.
    12. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    13. Engle, Robert F, 1978. "Testing Price Equations for Stability across Spectral Frequency Bands," Econometrica, Econometric Society, vol. 46(4), pages 869-881, July.
    14. Todd E. Clark, 1999. "The Responses Of Prices At Different Stages Of Production To Monetary Policy Shocks," The Review of Economics and Statistics, MIT Press, vol. 81(3), pages 420-433, August.
    15. Gabriel Srour, 2001. "Price-Level versus Inflation Targeting in a Small Open Economy," Staff Working Papers 01-24, Bank of Canada.
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    Cited by:

    1. Ackah, Ishmael, 2015. "On the relationship between energy consumption, productivity and economic growth: Evidence from Algeria, Ghana, Nigeria and South Africa," MPRA Paper 64887, University Library of Munich, Germany.

    More about this item


    price indices; consumer price index; pakistan; wholesale price index; CPI; WPI; Johansen cointegration; inflation; policymakers; GDP deflator; supply side;

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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