The relationship between different price indices: Evidence from Turkey
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, cilt.360, sa.2, ss.483-492, 2006 (SCI-Expanded, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 360 Sayı: 2
- Basım Tarihi: 2006
- Doi Numarası: 10.1016/j.physa.2005.05.037
- Dergi Adı: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
- Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
- Sayfa Sayıları: ss.483-492
- Anahtar Kelimeler: cointegration, periodogram, price indices, COINTEGRATION
- Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
- Ankara Üniversitesi Adresli: Hayır
Özet
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.