Decomposing Time-Frequency Relationship between Producer Price and Consumer Price Indices in Romania through Wavelet AnalysisEconomic Modelling (2013)
AbstractThis 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.
- Producer Price Index,
- Consumer Price Index,
- Time-frequency analysis,
- Non-stationary time-series,
Citation InformationAviral Kumar Tiwari, Mihai Mutascu and Alin Andries. "Decomposing Time-Frequency Relationship between Producer Price and Consumer Price Indices in Romania through Wavelet Analysis" Economic Modelling Vol. 31 (2013)
Available at: http://works.bepress.com/mihai_mutascu/24/