The relationship between different price indices: Evidence from Turkey

Akdi, Yılmaz; Berument, Hakan; Cılasun, Seyit Mümin

doi:10.1016/j.physa.2005.05.037

Cited by 20 publications

(14 citation statements)

References 16 publications

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“…This makes sense because each series may have a different seasonal pattern. However, we can still reject the null that the variances of each of the seven items are equal to the variance of the CPI for Culture, Food, Health, Housing and Transportation at the conventional 5% level when we use the seasonally adjusted data (these results are parallel to Berument 2003 andAkdi, Berument andCilasun 2006). Table 4 reports the mean and variances of the CPI and its seven components for each month.…”

Section: Data Characteristicsmentioning

confidence: 88%

Seasonality in Inflation Volatility: Evidence from Turkey

Berument

Şahin

2010

Journal of Applied Economics

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This paper assesses the presence of seasonal volatility in price indexes where a similar type of pattern has been reported in asset prices in financial markets. The empirical evidence from Turkey for the monthly period from 1987:01 to 2007:05 suggests the presence of seasonality in the conditional variance of inflation. Thus, inferences for the models that do not account for the seasonality in the conditional variance will be misleading.JEL classification codes: E31; E37, E30.

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Section: Data Characteristicsmentioning

confidence: 88%

Seasonality in Inflation Volatility: Evidence from Turkey

Berument

Şahin

2010

Journal of Applied Economics

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“…Further, Caporale et al (2002) claimed that bidirectional causality only exists when the causality links reflecting the monetary transmission mechanism are ignored. Akdi et al (2006) investigate the long-and the short-run relationships between the CPI and the WPI using Turkish data for the period January 1987-August 2004. Their findings suggest that the conventional tests of Engle and Granger (1987) and Johansen (1988) give mixed results.…”

Section: A Brief Review Of Literaturementioning

confidence: 99%

Causality between wholesale price and consumer price indices in India

Tiwari

2012

Indian Growth and Development Review

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Purpose -The purpose of this study is to attempt to analyze Granger causality in the frequency domain framework between producers' prices measured by wholesale price index (WPI) and consumers' prices measured by consumer price index (CPI) in the context of India. Design/methodology/approach -Analysis was carried out in the framework of time series and for analysis Johansen and Juselius's maximum likelihood approach for cointegration was applied after confirming that variables are integrated of order one, i.e. I(1) through the Lee and Strazicich unit root test. Finally, Granger causality was tested in the frequency domain by utilizing a recently developed approach of Lemmens et al. over the period January 1957-February 2009. Findings -The paper finds that CPI Granger cause WPI at a lower, intermediate as well as higher levels of frequency, reflecting very long-run, intermediate as well as short-run cycles. By contrast WPI Granger cause CPI at 5 percent level of significance was found at intermediate frequencies, reflecting significant intermediate cycles.Research limitations/implications -The study reveals that CPI is a leading indicator of producers' prices and inflation (i.e. WPI). This gives an indication that Indian policy analysts ought to control for factors affecting CPI in order to have control on WPI since WPI is used for making various macroeconomic indicators in real terms. Originality/value -The main contribution of the paper is to show the evidence of bidirectional causality between WPI and CPI. Furthermore, use of a recent approach developed by Lemmens et al. for Granger causality in the frequency domain in this study is also relatively new. To the best of the author's knowledge there is no such study in this area either for developed or developing economy to date.

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“…In Canada, however, no causality was detected. Akdi, Berument and Cilasun, (2006) PPI CPI Index (WPI) and Consumer Price Index (CPI), using monthly data from 1987:01 to 2004:08 in Turkey. The authors used three different methods to examine the long run relationship between the variables.…”

Section: Empirical Literaturementioning

confidence: 99%

“…While some empirical studies suggest that causality run from CPI to PPI (see Liping, Gang and Jiani, 2008), some provide the evidence that the reverse holds (Caporale, Katsimi, andPittis, 2002 andGhazali, Yee andMuhammed, 2008). Also, enormous studies find bidirectional causal relationship between CPI and PPI (Shahbaz, Awan and Nasir, 2009) in different economies and some others maintain no causality between the variables (Berument, Cilasun, and Akdi, 2006). Thus, a controversy exists.…”

Section: Empirical Literaturementioning

confidence: 99%

Exploring the Relationship between Consumer Price Index (CPI) and Producer Price Index (PPI) in Nigeria

Oyeleke¹,

Ojediran²

2018

ASSRJ

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The study investigated the relationship between consumer price index (CPI) and producer price index (PPI) in Nigerian economy, using monthly data from 2013: 01 to 2018: 05. The study employed DF-GLS unit root test to verify the stationarity of the series. Cointegration tests involving Johansen and Engle-Granger approaches could not detect long run relationship between CPI and PPI, implying that the variables could not be substituted for each other in measuring inflation rate in Nigeria. Vector Autoregressive (VAR) technique was used to analyse the variables and the results revealed that there was no causality between CPI and PPI in Nigeria. However, the OLS result in Engle-Granger 2-step approach to cointegration provided a useful insight into the relationship between the variables. An increase in either CPI or PPI exerted a statistically significant reduction effect on the rate of other in the long run.

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The relationship between different price indices: Evidence from Turkey

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)

Cited by 20 publications

References 16 publications

Seasonality in Inflation Volatility: Evidence from Turkey

Seasonality in Inflation Volatility: Evidence from Turkey

Causality between wholesale price and consumer price indices in India

Exploring the Relationship between Consumer Price Index (CPI) and Producer Price Index (PPI) in Nigeria

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