The relationship between different price indices: Evidence from Turkey
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Date
2006
Authors
Cilasun, Seyit Mümin
Berument, H
Cilasun, SM
Journal Title
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Volume Title
Publisher
Elsevier
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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 peri odogram-based test fails to reject the null of no-cointegration relationship. However, these two series move together in the short run. (c) 2005 Elsevier B.V. All rights reserved.
Description
Akdi, Yılmaz/0000-0003-0188-0970;
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Keywords
cointegration, periodogram, price indices
Turkish CoHE Thesis Center URL
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Citation
13
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Source
Volume
360
Issue
2
Start Page
483
End Page
492