Year 2020, Volume 10 , Issue 2, Pages 319 - 332 2020-12-31

Tüketici Fiyatları Endeksi ve Üretici Fiyatları Endeksi Arasındaki Nedensellik İlişkisi: Merkez ve Doğu Avrupa Ülkeleri (CEECs) Örneği
Causal Link Between Consumer Prices Index and Producer Prices Index: An Evidence From Central and Eastern European Countries (CEECs )

Asli OZPOLAT [1]


Tüketici fiyat endeksi ve üretici fiyat endeksleri mal ve hizmetlerdeki fiyat değişimlerini ifade eden önemli endeksleridir. Bu endeksler aracılığı ile merkez bankaları fiyat değişimlerini gözlemlemektedir. Ancak genellikle merkez bankaları fiyat değişimlerini tüketici fiyat endeksi üzerinden inceleme eğilimindedir. Bu çalışmada bu iki endeks arasındaki ilişki incelenmiştir. Bu amaçla, Orta ve Doğu Avrupa ülkeleri için 1992-2017 yılları arasında TÜFE ve ÜFE arasındaki ilişki analiz edilmiştir. Analizde değişkenler arasındaki ilişki panel eşbütünleşme ve panel nedensellik testleri ile tahmin edilmiştir. Ampirik bulgular Orta ve Doğu Avrupa ülkeleri için TÜFE ve ÜFE arasında uzun dönemli ve çift yönlü nedensellik ilişkisinin bulunduğunu göstermektedir.

Consumer price index and producer price index are important indices state that the price changes in goods and services. Central banks observe price changes through these indices. However, generally, central banks tend to examine price changes through the consumer price index. In this study, the relationship between these two indices has been investigated. For this aim, the paper is assessed CPI and PPI nexus for the annual series with data ranging from 1992 to 2017 for Central and Eastern European Countries (CEECs). In this phase, the long-run relationship among variables is analyzed by Panel Cointegration Test and Panel Causality Test. The empirical findings reveal that there is a long run and bilateral causality of the PPI and CPI in CEECs.

  • Akcay, S., (2011). The causal relationship between producer price index and consumer price index: empirical evidence from selected European countries. International Journal of Economics and Finance, 3, 227–232.
  • Akdi, Y., Berument, H., & Cilasun, S.M., (2006). The relationship between different price indices: evidence from Turkey. Physics A 360, 483–492.
  • Belton, W. & Reichert, U., (2007). Inflation Regimes, Core Inflation Measures and The Relationship Between Producer And Consumer Price Inflation. Applied Economics, 29, 1295-1305
  • Blomberg, B., & Harris, E., (1995). The commodity–consumer price connection: fact or fable? Federal Reserve Bank of New York Economic Policy Review 1, 21–38.
  • Caporale, G.M., Katsimi, M., & Pittis, N., (2002). Causality links between consumer and producer prices: some empirical evidence. Southern Economic Journal, 68, 703–711.
  • Clark, T., 1995. Do producer prices lead consumer prices? Federal Reserve Bank of Kansas City Economic Review, 80, 25–39.
  • Colclough, W.G., & Lange, M.D., (1982). Empirical evidence of causality from consumer to wholesale prices. Journal of Econometrics, 19, 379–384.
  • Cushing, M., & McGarvey, M., (1990). Feedback between wholesale and consumer price inflation: a reexamination of the evidence. Southern Economic Journal, 56, 1059–1072.
  • Dumitrescu, E. & Hurlin, C. (2012). Testing for granger non-causality in Heterogeneous Panels. Economic Modelling. 29(4), 1450-1460
  • Jones, J.D., (1986). Consumer prices, wholesale prices, and causality. Empirical Economics, 11, 41–55.
  • Engle, R.F., (1978). Testing price equations for stability across spectral frequency bands. Econometrica, 46, 869–881.
  • Fan, G., He, L., & Hu, J. (2009). CPI vs. PPI: Which drives which? Frontiers of Economics in China, 4(3), 317–334
  • Gang, F., Liping, H. & Jiani, H. (2009): CPI vs. PPI: Which Drives which? Frontiers of Economics in China, 43, No. 3, pp. 317 – 334.
  • Gao, X., An, H., & Zhong, W. (2013). Features of the Correlation Structure of Price Indices. PLoS ONE 8(4), 1-9
  • Ghazali, M.F., Yee, O.A., & Muhammad, M.Z., (2008). Do producer prices cause consumer prices? Some empirical evidence. International Journal of Business and Management, 3, 78–82.
  • Guthrie, R.S., (1981). The relationship between wholesale and consumer prices. Southern Economic Journal, 47, 1046–1055.
  • Hatanaka, M., & Wallace, T.D., (1979). Multi collinearity and the estimation of low order moments in stable lag distributions. In: Kmenta, J., Ramsay, J. (Eds.), Evaluation of Econometric Models. Academic Press, New York. Price
  • Hamid, S., Thirunnavukkarasu, A., & Rajamanickam, M., (2006). Transmission Between Djia, S&P 500 Index, PPI And CPI. CFS Working Paper Series, 2006-05
  • IMF-International Financial Statistics Database (2019)
  • Kao, C., (1999), Spurious Regression and Residual-Based Tests for Cointegration in Panel Data, Journal of Econometrics, 90, pp. 1–44
  • Im, K., Pesaran, M. & Shin, Y. (2003). Testing for Unit Roots in Heterogeneous Panels. Journal of Econometrics, 115 (2003) 53 – 74
  • Levin, A., Lin, C. & Chu, C-S. J., (2002). Unit Root Tests In Panel Data: Asymptotic And "Nite-Sample Properties. Journal of Econometrics, 108, 1–24
  • Martinez, W. O., Caicedo, E. & Tique, E. J. (2013): Exploring the Relationship between the CPI and the PPI: The Colombian Case. International Journal of Business and Management, 8, No. 17, pp. 142 – 152.
  • Pedroni, P., (1999), Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors, Oxford Bulletin of Economics and Statistics, 61,pp. 654–678
  • Pedroni, P., (2000), Fully Modified OLS for Heterogenous Cointegrated Panels, Nonstationary Panels, Panel Cointegration, and Dynamic Panels, 15, 93-130
  • Pedroni, P., (2001). Purchasing Power Parity Tests in Cointegrated Panels. Rev. Econ. Stat. 83, 727–731.
  • Rajcaniova, M. & Pokrivcak, J. (2013): Asymmetry in Price Transmission Mechanism: the Case of Slovak Potato Market. Review of Agricultural and Applied Economics, 16, No. 2, pp. 16 – 23.
  • Saraç, T. & Karagöz, K. (2010). Türkiye’de Tüketici ve Üretici Fiyatları Arasındaki İlişki: Yapısal Kırılma ve Sınır Testi. Maliye Dergisi, 159, 220-232
  • Shahbaz, M, UR Awan & MN Nasir (2009). Producer And Consumer Prices Nexus: ARDL Bounds Testing Approach. International Journal of Marketing Studies, 1(2), 78–86.
  • Shahbaz, M. Wahid, A. & Haider, A. (2010). Empirical Psychology between Wholesale Price and Consumer Price Indices: The Case Of Pakistan, The Singapore Economic Review, 55: 3, 537–551
  • Shahbaz, M., Tiwari, A.K. & Tahir, M.I., (2012). Does CPI Granger-cause WPI? New Extensions from Frequency Domain Approach in Pakistan. Economic Modelling,29, 1592–1597.
  • Sidaoui, J., Capistran, C., Chiquiar, D., & Ramos-Francia, M., (2009). A note on the predictive content of PPI over CPI inflation: the case of Mexico. Working Paper. Banco de Mexico. 2009–14.
  • Su, C., Khan, K., Lobont, O. & Sung, C-H., (2016). Is There any Relationship between Producer Price Index and Consumer Price Index in Slovakia? A Bootstrap Rolling Approach. Ekonomický časopis, 64(7), 611-628.
  • Tiwari, A.K. & Shahbaz. M., (2010). Modelling the Relationship between Whole Sale Price and Consumer Price Indices: Cointegration and Causality Analysis for India. Munich Personal RePEc Archive (MPRA). 27333
  • Tiwari, A.K., (2012a). An Empirical Investigation of Causality between Producers' Price and Consumers' Price Indices in Australia In Frequency Domain. Economic Modelling, 29, 1571–1578.
  • Tiwari, A.K., (2012b). Causality between Whole Sale Price and Consumer Price Indices in the India: An Empirical Investigation in the Frequency Domain. Indian Growth and Development Review, 5 (2), 151–172.
  • Tiwari A.K., Suresh K.G., Arouri, M. & Teulon, F. (2014). Causality between Cımsumer Price Index and Producer Price: Evidence from Mexico. Economic Modelling. 36(2014), 432-440
  • Ulke, V. & Ergun, U. (2014): The Relationship between Consumer Price and Producer Price Indices in Turkey. International Journal of Academic Research in Economics and Management Sciences, 3(1), 205 – 222.
Primary Language en
Subjects Social
Journal Section Articles
Authors

Orcid: 0000-0002-1769-3654
Author: Asli OZPOLAT (Primary Author)
Institution: GAZİANTEP ÜNİVERSİTESİ, OĞUZELİ MESLEK YÜKSEKOKULU
Country: Turkey


Dates

Publication Date : December 31, 2020

APA Ozpolat, A . (2020). Causal Link Between Consumer Prices Index and Producer Prices Index: An Evidence From Central and Eastern European Countries (CEECs ) . Adam Akademi Sosyal Bilimler Dergisi , 10 (2) , 319-332 . Retrieved from https://dergipark.org.tr/en/pub/adamakademi/issue/59367/594508