Asymmetric Shocks and Co-movement of Price Indices
Download full text from publisher
Other versions of this item:
- Rao, Nasir Hamid & Bukhari, Syed Kalim Hyder, 2010. "Asymmetric Shocks and Co-movement of Price Indices," MPRA Paper 28723, University Library of Munich, Germany.
- Nasir Hamid Rao & Syed Kalim Hyder Bukhari, 2011. "Asymmetric Shocks and Co-movement of Price Indices," SBP Working Paper Series 38, State Bank of Pakistan, Research Department.
References listed on IDEAS
- 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.
- 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.
- Mackinnon, J.G. & Haug, A.A. & Michelis, L., 1996. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," G.R.E.Q.A.M. 96a09, Universite Aix-Marseille III.
- James G. MacKinnon & Alfred A. Haug & Leo Michelis, 1996. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Working Papers 1996_07, York University, Department of Economics.
- 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.
- 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.
- Engle, Robert F, 1978. "Testing Price Equations for Stability across Spectral Frequency Bands," Econometrica, Econometric Society, vol. 46(4), pages 869-881, July.
- 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.
- Vitor Gaspar & Frank Smets, 2002. "Monetary Policy, Price Stability and Output Gap Stabilization," International Finance, Wiley Blackwell, vol. 5(2), pages 193-211.
- 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.
- 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.
- 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.
- Todd E. Clark, 1996. "The responses of prices at different stages of production to monetary policy shocks," Research Working Paper 96-12, Federal Reserve Bank of Kansas City.
- 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.
- 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.
- 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.
- Gabriel Srour, 2001. "Price-Level versus Inflation Targeting in a Small Open Economy," Staff Working Papers 01-24, Bank of Canada.
- 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.
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
- Muhammad Shahbaz & Abu N. M. Wahid & Adnan Haider, 2010. "Empirical Psychology Between Wholesale Price And Consumer Price Indices: The Case Of Pakistan," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 55(03), pages 537-551.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
Most related itemsThese are the items that most often cite the same works as this one and are cited by the same works as this one.
- 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.
- Muhammad, Shahbaz & Kumar, A.T.K. & Mohammad, Iqbal Tahir, 2012. "Does CPI Granger-Cause WPI? New Extensions from Frequency Domain Approach in Pakistan," MPRA Paper 38816, University Library of Munich, Germany, revised 14 May 2012.
- Tang, Tuck Cheong, 2003. "Japanese aggregate import demand function: reassessment from the 'bounds' testing approach," Japan and the World Economy, Elsevier, vol. 15(4), pages 419-436, December.
- Zivot, Eric, 2000. "Cointegration and forward and spot exchange rate regressions," Journal of International Money and Finance, Elsevier, vol. 19(6), pages 785-812, December.
- Denise Côté & Doug Hostland, 1996. "An Econometric Examination of the Trend Unemployment Rate in Canada," Staff Working Papers 96-7, Bank of Canada.
- Dierk Herzer & Holger Strulik & Sebastian Vollmer, 2012.
"The long-run determinants of fertility: one century of demographic change 1900–1999,"
Journal of Economic Growth, Springer, vol. 17(4), pages 357-385, December.
- Dierk Herzery & Holger Strulik & Sebastian Vollmer, 2010. "The Long-run Determinants of Fertility: One Century of Demographic Change 1900-1999," PGDA Working Papers 6310, Program on the Global Demography of Aging.
- Herzer, Dierk & Strulik, Holger & Vollmer, Sebastian, 2010. "The Long-run Determinants of Fertility: One Century of Demographic Change 1900-1999," Hannover Economic Papers (HEP) dp-456, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Tang, Chor Foon, 2011. "Temporal Granger causality and the dynamics examination on the tourism-growth nexus in Malaysia," MPRA Paper 29237, University Library of Munich, Germany.
- Pesavento, Elena, 2004.
"Analytical evaluation of the power of tests for the absence of cointegration,"
Journal of Econometrics, Elsevier, vol. 122(2), pages 349-384, October.
- Pesavento, Elena, 2000. "Analytical Evaluation of the Power of Tests for the Absence of Cointegration," University of California at San Diego, Economics Working Paper Series qt4cq4773c, Department of Economics, UC San Diego.
- Roberto Golinelli & Sergio Pastorello, 2002. "Modelling the demand for M3 in the Euro area," The European Journal of Finance, Taylor & Francis Journals, vol. 8(4), pages 371-401.
- Tang, Chor-Foon & Lau, Evan, 2011. "The Behaviour of Disaggregated Public Expenditures and Income in Malaysia," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 7(1-2), pages 1-13, March.
- Tang, Chor Foon & Tan, Bee Wah, 2014. "A revalidation of the savings–growth nexus in Pakistan," Economic Modelling, Elsevier, vol. 36(C), pages 370-377.
- Ewubare, Dennis Brown, 2019. "Impact of Economic Planning on Sustainable Development in Nigeria," Asian Development Policy Review, Asian Economic and Social Society, vol. 7(1), pages 12-22, March.
- Jacqueline Dwyer & Christopher Kent & Andrew Pease, 1993. "Exchange Rate Pass-through: The Different Responses of Importers and Exporters," RBA Research Discussion Papers rdp9304, Reserve Bank of Australia.
- 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.
- Aviral Kumar Tiwari & Suresh K.G. & Mohamed Arouri & Frédéric Teulon, 2014. "Causality between consumer price and producer price: Evidence from Mexico," Working Papers 2014-292, Department of Research, Ipag Business School.
- Álvarez-Díaz, Marcos & González-Gómez, Manuel & Otero-Giráldez, María Soledad, 2018. "Main determinants of export-oriented bleached eucalyptus kraft pulp (BEKP) demand from the north-western regions of Spain," Forest Policy and Economics, Elsevier, vol. 96(C), pages 112-119.
- KHAN, Muhammad Arshad, 2008. "Long-Run And Short-Run Dynamics Of Foreign Exchange Reserves Flows And Domestic Credit In Pakistan," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 5(1), pages 61-78.
- Andreas Brunhart, 2013. "Der Klein(st)staat Liechtenstein und seine grossen Nachbarländer: Eine wachstums- und konjunkturanalytische Gegenüberstellung," Arbeitspapiere 44, Liechtenstein-Institut.
- Gabriel Rodriguez & Pierre Perron, 2013. "Single-equation tests for Cointegration with GLS Detrended Data," Boston University - Department of Economics - Working Papers Series 2013-016, Boston University - Department of Economics.
- Lonnie Stevans & David Sessions, 2005.
"An Empirical Investigation Into the Effect of Music Downloading on the Consumer Expenditure of Recorded Music: A Time Series Approach,"
Journal of Consumer Policy, Springer, vol. 28(3), pages 311-324, September.
- Lonnie K. Stevans, 2005. "An Empirical Investigation into the Effect of Music Downloading on the Consumer Expenditure of Recorded Music: A Time Series Approach," Microeconomics 0502002, University Library of Munich, Germany.
- Chen, Shyh-Wei & Shen, Chung-Hua, 2015. "Revisiting the Feldstein–Horioka puzzle with regime switching: New evidence from European countries," Economic Modelling, Elsevier, vol. 49(C), pages 260-269.
- Raffaello Bronzini & Paolo Piselli, 2006. "Determinants of long-run regional productivity: the role of R&D, human capital and public infrastructure," Temi di discussione (Economic working papers) 597, Bank of Italy, Economic Research and International Relations Area.
More about this item
Keywordsprice indices; consumer price index; pakistan; wholesale price index; CPI; WPI; Johansen cointegration; inflation; policymakers; GDP deflator; supply side;
All these keywords.
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CIS-2011-02-19 (Confederation of Independent States)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ess:wpaper:id:3569. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: http://www.esocialsciences.org .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Padma Prakash (email available below). General contact details of provider: http://www.esocialsciences.org .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.