The Relationship between Consumer Price and Producer Price Indices in Turkey

Volkan Ülke and Ugur Ergun

MPRA Paper from University Library of Munich, Germany

Abstract: In this study we analyze the relationship between the Consumer Price Index (CPI) and the Producer Price Index (PPI) in Turkey. We test long run, short run and causality relationship of these series. Johansen’s cointegration tests present a long run relationship between these series. Vector error correction (VEC) model specification suggests these series move together. There is a unidirectional long run causality from CPI to PPI. On the other hand VEC Granger causality test indicates no causality in short run. Thus our results suggest demand pull inflation in long run.

Keywords: Cointegration; Vector error correction model and Price indices (search for similar items in EconPapers)
JEL-codes: C32 E31 (search for similar items in EconPapers)
Date: 2013-09-22
New Economics Papers: this item is included in nep-ara, nep-cwa and nep-mac
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Citations: View citations in EconPapers (1)

Published in International Journal of Academic Research in Economics and Management Sciences No. 1.vol. 3(2014): pp. 205-2022

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:59437

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