A Note on the Predictive Content of PPI over CPI Inflation: The Case of Mexico

Sidaoui José Julián, Carlos Capistrán (), Daniel Chiquiar and Manuel Ramos Francia

No 2009-14, Working Papers from Banco de México

Abstract: This note studies the causal relationship that may exist between the producer price index (PPI) and the consumer price index (CPI). In contrast with previous international studies, the results suggest that, in the case of Mexico, information on the PPI seems to be useful to improve forecasts of CPI inflation. In particular, CPI inflation responds significantly to disequilibrium errors with respect to the long-run relationship between consumer and producer prices. These results are based on in-sample and out-of-sample tests of Granger causality, using an error correction model.

JEL-codes: C32 C53 E31 E37 (search for similar items in EconPapers)
Date: 2009-11
New Economics Papers: this item is included in nep-cba, nep-for, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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