Facebook Instagram Twitter RSS Feed PodBean Back to top on side

Producer Price Index and Consumer Price Index: Causality in Central and Eastern European Countries

In: Ekonomický časopis/Journal of Economics, vol. 66, no. 4
Khalid Khan - Chi-Wei Su - Ran Tao - Oana-Ramona Lobonţ

Details:

Year, pages: 2018, 367 - 395
Keywords:
Consumer Price Index, Producer Price Index, rolling window, time-varying causality, bootstrap JEL Classification: C32, E31
Article type: Vedecký / Article
About article:
This article uses the bootstrap panel Granger causality to analyse the link between the Producer Price Index (PPI) and Consumer Price Index (CPI) in ten Central and Eastern European (CEE) countries. The result of cross-sectional dependency and slope homogeneity shows that PPI and CPI vary in different countries. However, the result indicates that PPI influences CPI in the sense of Granger causality in five CEE countries; namely, Latvia, Lithuania, Romania, Slovakia and Slovenia. The findings support the moderate inflation model in the significant countries, which explain that PPI is a primary contributing factor of CPI. On the other hand, CPI has a significant impact on the PPI only in Hungary. The results are useful for policy makers of these countries to formulate inflation targeting policies with greater attention towards the PPI.
This article uses the bootstrap panel Granger causality to analyse the link between the Producer Price Index (PPI) and Consumer Price Index (CPI) in ten Central and Eastern European (CEE) countries. The result of cross-sectional dependency and slope homogeneity shows that PPI and CPI vary in different countries. However, the result indicates that PPI influences CPI in the sense of Granger causality in five CEE countries; namely, Latvia, Lithuania, Romania, Slovakia and Slovenia. The findings support the moderate inflation model in the significant countries, which explain that PPI is a primary contributing factor of CPI. On the other hand, CPI has a significant impact on the PPI only in Hungary. The results are useful for policy makers of these countries to formulate inflation targeting policies with greater attention towards the PPI.
How to cite:
ISO 690:
Khan, K., Chi-Wei Su, ., Tao, R., Lobonţ, O. 2018. Producer Price Index and Consumer Price Index: Causality in Central and Eastern European Countries. In Ekonomický časopis/Journal of Economics, vol. 66, no.4, pp. 367-395. 0013-3035.

APA:
Khan, K., Chi-Wei Su, ., Tao, R., Lobonţ, O. (2018). Producer Price Index and Consumer Price Index: Causality in Central and Eastern European Countries. Ekonomický časopis/Journal of Economics, 66(4), 367-395. 0013-3035.
About edition:
Published: 14. 5. 2018