Characteristics of inflation in Greece: mean spillover effects among CPI components

Nicholas Apergis ()

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: The objective of this paper is to investigate the behaviour of various CPI components in terms of their spillover behaviour. This is the first study analyzing the causal relationship between CPI components in Greece. The empirical analysis uses data on different components of the Consumer Price Index (CPI) with 1995 as the base year (1995=100). Data covers the period 1981 to 2009. Our results indicated the primary price movements are transmitted from the energy price indices, i.e. the electricity price index, the energy price index and the fuels and gas price index, while a secondary role also comes from the food and vegetables price index along with the services price index. In terms of causality, the evidence indicates that there is a unidirectional transmission of energy prices disturbance to the remaining CPI components, while innovations (shocks) to the remaining CPI components did not have any significant effect on all indices.

JEL-codes: N0 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2011-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34)

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http://eprints.lse.ac.uk/32597/ Open access version. (application/pdf)

Related works:
Working Paper: Characteristics of inflation in Greece: Mean Spillover Effects among CPI Components (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:32597

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