RELATIVE PRICES AND INFLATION VARIABILITY

Salim Chishti and M. Aynul Hasan

Pakistan Journal of Applied Economics, 1989, vol. 8, issue 1, 73-84

Abstract: This study examines the causality and stability of the relationship vetween variability in inflation and dispersion in relative prices using monthly price data for twenty industrial groups. ARIMA models have been extimated and the adequancy of the filters has been checked with modified Q-statistic before applying the standard causality tests. Also Hannan and Quinn test has been used to identify the lag length. Results indicate a strong but unstable relationship between the two variables. Granger causality is found to be generally bo-directional.

Date: 1989
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