The relationship between different price indices: Evidence from Turkey
Physica A: Statistical Mechanics and its Applications, vol.360, no.2, pp.483-492, 2006 (SCI-Expanded, Scopus)
- Publication Type: Article / Article
- Volume: 360 Issue: 2
- Publication Date: 2006
- Doi Number: 10.1016/j.physa.2005.05.037
- Journal Name: Physica A: Statistical Mechanics and its Applications
- Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
- Page Numbers: pp.483-492
- Keywords: cointegration, periodogram, price indices
- Open Archive Collection: AVESIS Open Access Collection
- TED University Affiliated: No
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. © 2005 Elsevier B.V. All rights reserved.