Decomposing time-frequency relationship between producer price and consumer price indices in Romania through wavelet analysis
Journal
Economic Modelling
ISSN
0264-9993
ISSN-Digital
1873-6122
Type
journal article
Date Issued
2013-03
Author(s)
Abstract
This study analyses Granger-causality between the return series of CPI and PPI (i.e., inflation measured by CPI and PPI) for Romania, by using monthly data covering the period of 1991m1 to 2011m11. To analyse the issue in depth, this study decomposes the time-frequency relationship between CPI- and PPI-based inflation through a continuous wavelet approach. Our results provide strong evidence that there are cyclical effects from variables (as variables are observed in phase), while anti-cyclical effects are not observed.
Language
English
Keywords
Producer Price Index
Consumer Price Index
Time-frequency analysis
Non-stationary time-series
Wavelets
HSG Classification
contribution to scientific community
Refereed
No
Publisher
Elsevier
Publisher place
Amsterdam
Volume
2013
Number
31
Start page
151
End page
159
Pages
9
Subject(s)
Division(s)
Eprints ID
227125