The relationship between different price indices: Evidence from Turkey

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AKDİ Y., Berument H., Cılasun S. M.

Physica A: Statistical Mechanics and its Applications, cilt.360, sa.2, ss.483-492, 2006 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 360 Sayı: 2
  • Basım Tarihi: 2006
  • Doi Numarası: 10.1016/j.physa.2005.05.037
  • Dergi Adı: Physica A: Statistical Mechanics and its Applications
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.483-492
  • Anahtar Kelimeler: cointegration, periodogram, price indices
  • TED Üniversitesi Adresli: Hayır

Özet

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. © 2005 Elsevier B.V. All rights reserved.