Dynamic Causality between Consumer Price and Producer Price in Iran: An Application of Continuous Wavelet Transformation
In this study, the continuous wavelet transformation approach is employed to test the dynamics of the causality between two principal inflation indices i.e. consumer price index (CPI) and producer price index (PPI) based on monthly data from 1990:5 to 2013:12 for the Iranian economy. Analyzing the d...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | fas |
| Published: |
Allameh Tabataba'i University Press
2015-03-01
|
| Series: | فصلنامه پژوهش‌های اقتصادی ایران |
| Subjects: | |
| Online Access: | https://ijer.atu.ac.ir/article_2490_42dacfb2b46c0bda7ebb71206c0b29fb.pdf |
| _version_ | 1827393189707776000 |
|---|---|
| author | Firouz Fallahi Hossein Asgharpur Sajjad Abdollahzadeh |
| author_facet | Firouz Fallahi Hossein Asgharpur Sajjad Abdollahzadeh |
| author_sort | Firouz Fallahi |
| collection | DOAJ |
| description | In this study, the continuous wavelet transformation approach is employed to test the dynamics of the causality between two principal inflation indices i.e. consumer price index (CPI) and producer price index (PPI) based on monthly data from 1990:5 to 2013:12 for the Iranian economy. Analyzing the dynamics of causality between these two inflation indices could provide significant policy implications. One of the dominant aspects of this approach compared with the conventional causality tests is that it has a higher ability in analyzing dynamics of causality between time series. The wavelet, as a band pass filter to the time series, is stretched in time by varying its scale, which makes it possible to show the short run and long run causalities between the time series. In this paper, we apply the continuous wavelet transformation to study the inflationary cycles of the Iranian economy. The results confirm both demand-pull and cost-push nature of inflation by indicating bidirectional causality between the CPI and PPI. In fact, the causality directions vary over time depending on different economic conditions. |
| first_indexed | 2024-03-08T17:45:36Z |
| format | Article |
| id | doaj.art-228e13400fd644439078388f10c5c896 |
| institution | Directory Open Access Journal |
| issn | 1726-0728 2476-6445 |
| language | fas |
| last_indexed | 2024-03-08T17:45:36Z |
| publishDate | 2015-03-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | فصلنامه پژوهش‌های اقتصادی ایران |
| spelling | doaj.art-228e13400fd644439078388f10c5c8962024-01-02T10:29:13ZfasAllameh Tabataba'i University Pressفصلنامه پژوهش‌های اقتصادی ایران1726-07282476-64452015-03-0120628110710.22054/ijer.2015.24902490Dynamic Causality between Consumer Price and Producer Price in Iran: An Application of Continuous Wavelet TransformationFirouz Fallahi0Hossein Asgharpur1Sajjad Abdollahzadeh2دانشیارگروه اقتصاد دانشگاه تبریزدانشیار گروه اقتصاد دانشگاه تبریزدانش آموخته کارشناسی ارشد اقتصاد دانشگاه تبریزIn this study, the continuous wavelet transformation approach is employed to test the dynamics of the causality between two principal inflation indices i.e. consumer price index (CPI) and producer price index (PPI) based on monthly data from 1990:5 to 2013:12 for the Iranian economy. Analyzing the dynamics of causality between these two inflation indices could provide significant policy implications. One of the dominant aspects of this approach compared with the conventional causality tests is that it has a higher ability in analyzing dynamics of causality between time series. The wavelet, as a band pass filter to the time series, is stretched in time by varying its scale, which makes it possible to show the short run and long run causalities between the time series. In this paper, we apply the continuous wavelet transformation to study the inflationary cycles of the Iranian economy. The results confirm both demand-pull and cost-push nature of inflation by indicating bidirectional causality between the CPI and PPI. In fact, the causality directions vary over time depending on different economic conditions.https://ijer.atu.ac.ir/article_2490_42dacfb2b46c0bda7ebb71206c0b29fb.pdfinflationconsumer price indexproducer price indexwavelet approach |
| spellingShingle | Firouz Fallahi Hossein Asgharpur Sajjad Abdollahzadeh Dynamic Causality between Consumer Price and Producer Price in Iran: An Application of Continuous Wavelet Transformation فصلنامه پژوهش‌های اقتصادی ایران inflation consumer price index producer price index wavelet approach |
| title | Dynamic Causality between Consumer Price and Producer Price in Iran: An Application of Continuous Wavelet Transformation |
| title_full | Dynamic Causality between Consumer Price and Producer Price in Iran: An Application of Continuous Wavelet Transformation |
| title_fullStr | Dynamic Causality between Consumer Price and Producer Price in Iran: An Application of Continuous Wavelet Transformation |
| title_full_unstemmed | Dynamic Causality between Consumer Price and Producer Price in Iran: An Application of Continuous Wavelet Transformation |
| title_short | Dynamic Causality between Consumer Price and Producer Price in Iran: An Application of Continuous Wavelet Transformation |
| title_sort | dynamic causality between consumer price and producer price in iran an application of continuous wavelet transformation |
| topic | inflation consumer price index producer price index wavelet approach |
| url | https://ijer.atu.ac.ir/article_2490_42dacfb2b46c0bda7ebb71206c0b29fb.pdf |
| work_keys_str_mv | AT firouzfallahi dynamiccausalitybetweenconsumerpriceandproducerpriceinirananapplicationofcontinuouswavelettransformation AT hosseinasgharpur dynamiccausalitybetweenconsumerpriceandproducerpriceinirananapplicationofcontinuouswavelettransformation AT sajjadabdollahzadeh dynamiccausalitybetweenconsumerpriceandproducerpriceinirananapplicationofcontinuouswavelettransformation |