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      • Department of Economics
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      The relationship between different price indexes: a set of evidence from inflation targeting countries

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      Author(s)
      Akdi, Y.
      Berument, Hakan
      Cilasun, S. M.
      Olgun, H.
      Date
      2006
      Source Title
      Statistical Journal of the United Nations Economic Commission for Europe
      Print ISSN
      0167-8000
      Electronic ISSN
      1875-9254
      Publisher
      I O S Press
      Volume
      23
      Issue
      2-3
      Pages
      119 - 125
      Language
      English
      Type
      Article
      Item Usage Stats
      147
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      139
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      Abstract
      The possible long-run relationships between the Consumer Price Index and the Wholesale Price Index are analyzed for three inflation targeting countries - Canada, Sweden and the UK - using three different statistical techniques. The Engle-Granger test finds cointegration only for Sweden. The Johansen's test and the model-free and seasonality robust periodogram based test conclusively show that the two price indexes are not cointegrated in the three countries included in the sample. Hence, the values of these indexes may consistently diverge over time. However, the two price indexes move together in the short run. These findings have some implications for the success of inflation targeting monetary policies. © 2006 - IOS Press and the authors. All rights reserved.
      Keywords
      Cointegration
      Periodogram
      Price indices
      Customer satisfaction
      Mathematical models
      Statistical methods
      Cost accounting
      Permalink
      http://hdl.handle.net/11693/23631
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      • Department of Economics 697
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