The relationship between different price indices: Evidence from Turkey

Yilmaz Akdi, Hakan Berument () and Seyit Cilasun ()

Physica A: Statistical Mechanics and its Applications, 2006, vol. 360, issue 2, 483-492

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) 2251–276] and Johansen's [J. Econ. Dyn. Control 12 (1988) 231–254] cointegration tests give mixed evidence for a possible long-run relationship between those two series. The model-free and seasonally robust periodogram-based test fails to reject the null of no-cointegration relationship. However, these two series move together in the short run.

Keywords: Cointegration; Periodogram; Price indices (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:360:y:2006:i:2:p:483-492

DOI: 10.1016/j.physa.2005.05.037

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