 Causal relationship between wages and prices in R. Macedonia: VECM analysisDushko Josheski () and Snezana Bardarova MPRA Paper from University Library of Munich, Germany Abstract: In this paper the issue of causality between wages and prices in R.Macedonia has been tested. OLS relationship between prices and wages is positive; productivity is not significant in determination of prices or wages too. Engle-Granger test proved that variables of interest CPI and average real wage are cointegrated, i.e. there exists long run relationship between those variables, when first differenced. While their levels are not cointegrated. ARDL regression proved that between CPI and average real wage there exists almost significant long run relationship (tstat=1.60), and coefficient is of size 0.3353 at one lag. Unit root test showed that CPI and average real wage are I (1) variables. Johansen’s test of cointegration showed that we cannot reject the null hypothesis of having rank 1 (rank=1) and therefore the number of cointegrating vectors is one. Optimal number of lags according for VARs and VECMs is 1. From the VECM model we can see which variable responds more if there is shock in the system, and it seems that average real wage responds more on the shock in the system. Keywords: Granger causality; wages; prices; cointegration; VECM (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:48179 Access Statistics for this paper More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC. |
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