The relationship between different price indices: Evidence from Turkey

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2006

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Elsevier

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Department of Business
In parallel to our vision and mission statements, we offer graduate programs in Business Administration, Finance, Healthcare Management fields, either in Turkish or English as medium of instruction. Programs in English appeal to foreign students as well as Turkish ones for that we offer education through the latest that science has reached. We also offer online Master’s programs to students who cannot attend to our full-time programs.

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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.

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Akdi, Yılmaz/0000-0003-0188-0970;
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Keywords

cointegration, periodogram, price indices

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13

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Volume

360

Issue

2

Start Page

483

End Page

492

URI

https://doi.org/10.1016/j.physa.2005.05.037
 https://hdl.handle.net/20.500.14411/1180

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