Decomposing time-frequency relationship between producer price and consumer price indices in Romania through wavelet analysis

Aviral Tiwari, Mihai Mutascu and Alin Marius Andries
Authors registered in the RePEc Author Service: Alin Marius Andrieș

Economic Modelling, 2013, vol. 31, issue C, 151-159

Abstract: This study analyses Granger-causality between the return series of CPI and PPI (i.e., inflation measured by CPI and PPI) for Romania, by using monthly data covering the period of 1991m1 to 2011m11. To analyse the issue in depth, this study decomposes the time-frequency relationship between CPI- and PPI-based inflation through a continuous wavelet approach. Our results provide strong evidence that there are cyclical effects from variables (as variables are observed in phase), while anti-cyclical effects are not observed.

Keywords: Producer Price Index; Consumer Price Index; Time-frequency analysis; Non-stationary time-series; Wavelets (search for similar items in EconPapers)
JEL-codes: C10 C82 E32 E47 E52 E60 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (57)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:31:y:2013:i:c:p:151-159

DOI: 10.1016/j.econmod.2012.11.057

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