메뉴 건너뛰기




Volumn 29, Issue 5, 2012, Pages 1571-1578

An empirical investigation of causality between producers' price and consumers' price indices in Australia in frequency domain

Author keywords

Australia; Consumers' price index; Granger causality in the frequency domain; Producers' price index

Indexed keywords


EID: 84861722046     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2012.05.010     Document Type: Article
Times cited : (37)

References (43)
  • 2
    • 49349101940 scopus 로고    scopus 로고
    • Interpreting euro area inflation at high and low frequencies
    • Assenmacher-Wesche K., Gerlach S. Interpreting euro area inflation at high and low frequencies. European Economic Review 2008, 52:964-986.
    • (2008) European Economic Review , vol.52 , pp. 964-986
    • Assenmacher-Wesche, K.1    Gerlach, S.2
  • 3
    • 37849026713 scopus 로고    scopus 로고
    • Money growth, output gaps and inflation at low and high frequency: spectral estimates for Switzerland
    • Assenmacher-Wesche K., Gerlach S. Money growth, output gaps and inflation at low and high frequency: spectral estimates for Switzerland. Journal of Economic Dynamics and Control 2008, 32:411-435.
    • (2008) Journal of Economic Dynamics and Control , vol.32 , pp. 411-435
    • Assenmacher-Wesche, K.1    Gerlach, S.2
  • 5
    • 0002534912 scopus 로고
    • A general test for nonlinear granger causality: bivariate model
    • Iowa State University
    • Baek E., Brock W. A general test for nonlinear granger causality: bivariate model. Working paper 1992, Iowa State University.
    • (1992) Working paper
    • Baek, E.1    Brock, W.2
  • 7
    • 33845263644 scopus 로고    scopus 로고
    • Testing for short and long-run causality: a frequency domain approach
    • Breitung J., Candelon B. Testing for short and long-run causality: a frequency domain approach. Journal of Econometrics 2006, 132:363-378.
    • (2006) Journal of Econometrics , vol.132 , pp. 363-378
    • Breitung, J.1    Candelon, B.2
  • 8
    • 0036003784 scopus 로고    scopus 로고
    • Causality links between consumer and producer prices: some empirical evidences
    • Caporale G.M., Katsimi M., Pittis N. Causality links between consumer and producer prices: some empirical evidences. Southern Economic Journal 2002, 68:703-711.
    • (2002) Southern Economic Journal , vol.68 , pp. 703-711
    • Caporale, G.M.1    Katsimi, M.2    Pittis, N.3
  • 9
    • 84981676740 scopus 로고
    • Finite sample sizes of Johansen's likelihood ratio tests for cointegration
    • Cheung Y.W., Lai K.S. Finite sample sizes of Johansen's likelihood ratio tests for cointegration. Oxford Bulletin of Economics and Statistics 1993, 55:313-328.
    • (1993) Oxford Bulletin of Economics and Statistics , vol.55 , pp. 313-328
    • Cheung, Y.W.1    Lai, K.S.2
  • 11
    • 0010004355 scopus 로고
    • Empirical evidence of causality from consumer to wholesale prices
    • Colclough W.G., Lange M.D. Empirical evidence of causality from consumer to wholesale prices. Journal of Econometrics 1982, 19:379-384.
    • (1982) Journal of Econometrics , vol.19 , pp. 379-384
    • Colclough, W.G.1    Lange, M.D.2
  • 12
    • 0001317970 scopus 로고
    • Feedback between wholesale and consumer price inflation: a reexamination of the evidence
    • Cushing M.J., McGarvey M.G. Feedback between wholesale and consumer price inflation: a reexamination of the evidence. Southern Economic Journal 1990, 56:1059-1072.
    • (1990) Southern Economic Journal , vol.56 , pp. 1059-1072
    • Cushing, M.J.1    McGarvey, M.G.2
  • 13
    • 33750010952 scopus 로고    scopus 로고
    • The export-income relationship and trade liberalisation in Bangladesh
    • Dawson P.J. The export-income relationship and trade liberalisation in Bangladesh. Journal of Policy Modeling 2006, 28:889-896.
    • (2006) Journal of Policy Modeling , vol.28 , pp. 889-896
    • Dawson, P.J.1
  • 14
    • 0004018816 scopus 로고    scopus 로고
    • South-Western College Publishing, Cincinnati
    • Diebold F.X. Elements of Forecasting 2001, South-Western College Publishing, Cincinnati. 2nd ed.
    • (2001) Elements of Forecasting
    • Diebold, F.X.1
  • 16
    • 0000013567 scopus 로고
    • Co-integration and error correction representation: estimation and testing
    • Engle R.F., Granger C.W.J. Co-integration and error correction representation: estimation and testing. Econometrica 1987, 55:251-276.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 17
    • 84894912254 scopus 로고
    • Measurement of linear dependence and feedback between multiple time series
    • Geweke J. Measurement of linear dependence and feedback between multiple time series. Journal of the American Statistical Association 1982, 77:304-324.
    • (1982) Journal of the American Statistical Association , vol.77 , pp. 304-324
    • Geweke, J.1
  • 19
    • 0000351727 scopus 로고
    • Investigation causal relations by econometric models and cross-spectral methods
    • Granger C.W.J. Investigation causal relations by econometric models and cross-spectral methods. Econometrica 1969, 37:424-438.
    • (1969) Econometrica , vol.37 , pp. 424-438
    • Granger, C.W.J.1
  • 21
    • 63449124614 scopus 로고    scopus 로고
    • Reconsidering the macroeconomics of the oil price in Germany: testing for causality in the frequency domain
    • Gronwald M. Reconsidering the macroeconomics of the oil price in Germany: testing for causality in the frequency domain. Empirical Economics 2009, 36:441-453.
    • (2009) Empirical Economics , vol.36 , pp. 441-453
    • Gronwald, M.1
  • 22
    • 0009969096 scopus 로고
    • The relationship between wholesale and consumer prices
    • Guthrie R.S. The relationship between wholesale and consumer prices. Southern Economic Journal 1981, 47:1046-1055.
    • (1981) Southern Economic Journal , vol.47 , pp. 1046-1055
    • Guthrie, R.S.1
  • 23
    • 0003410290 scopus 로고
    • Princeton University Press, Princeton, NJ
    • Hamilton J.D. Time Series Analysis 1994, Princeton University Press, Princeton, NJ.
    • (1994) Time Series Analysis
    • Hamilton, J.D.1
  • 24
    • 0006104710 scopus 로고
    • The decomposition and measurement of the interdependence between second-order stationary process
    • Hosoya Y. The decomposition and measurement of the interdependence between second-order stationary process. Probability Theory and Related Fields 1991, 88:429-444.
    • (1991) Probability Theory and Related Fields , vol.88 , pp. 429-444
    • Hosoya, Y.1
  • 26
    • 84981621724 scopus 로고
    • Determination of cointegration rank in the presence of a linear trend
    • Johansen S. Determination of cointegration rank in the presence of a linear trend. Oxford Bulletin of Economics and Statistics 1992, 54:383-397.
    • (1992) Oxford Bulletin of Economics and Statistics , vol.54 , pp. 383-397
    • Johansen, S.1
  • 28
    • 84981579311 scopus 로고
    • Maximum likelihood estimation and inference on cointegration with applications to money demand
    • Johansen S., Juselius K. Maximum likelihood estimation and inference on cointegration with applications to money demand. Oxford Bulletin of Economics and Statistics 1990, 52:169-210.
    • (1990) Oxford Bulletin of Economics and Statistics , vol.52 , pp. 169-210
    • Johansen, S.1    Juselius, K.2
  • 29
    • 34250128603 scopus 로고
    • Consumer prices, wholesale prices, and causality
    • Jones J.D. Consumer prices, wholesale prices, and causality. Empirical Economics 1986, 11:41-55.
    • (1986) Empirical Economics , vol.11 , pp. 41-55
    • Jones, J.D.1
  • 30
    • 49349097151 scopus 로고    scopus 로고
    • Measuring and testing Granger-causality over the spectrum: an application to European production expectation surveys
    • Lemmens A., Croux C., Dekimpe M.G. Measuring and testing Granger-causality over the spectrum: an application to European production expectation surveys. International Journal of Forecasting 2008, 24:414-431.
    • (2008) International Journal of Forecasting , vol.24 , pp. 414-431
    • Lemmens, A.1    Croux, C.2    Dekimpe, M.G.3
  • 31
    • 77953489215 scopus 로고    scopus 로고
    • Long-run validity of export-led growth: an empirical reinvestigation from linear and nonlinear cointegration test
    • Lim S.Y., Chia R.C.-J., Ho C.M. Long-run validity of export-led growth: an empirical reinvestigation from linear and nonlinear cointegration test. Economics Bulletin 2010, 30:1182-1190.
    • (2010) Economics Bulletin , vol.30 , pp. 1182-1190
    • Lim, S.Y.1    Chia, R.C.-J.2    Ho, C.M.3
  • 32
    • 13444251544 scopus 로고    scopus 로고
    • Testing export-led growth in Bangladesh in a multivariate VAR framework
    • Love J., Chandran R. Testing export-led growth in Bangladesh in a multivariate VAR framework. Journal of Asian Economics 2005, 15:1155-1168.
    • (2005) Journal of Asian Economics , vol.15 , pp. 1155-1168
    • Love, J.1    Chandran, R.2
  • 33
    • 77956888124 scopus 로고
    • Testing for a unit root in time series regression
    • Phillips P.C.B., Perron P. Testing for a unit root in time series regression. Biometrical 1988, 75:335-446.
    • (1988) Biometrical , vol.75 , pp. 335-446
    • Phillips, P.C.B.1    Perron, P.2
  • 36
    • 84859773132 scopus 로고    scopus 로고
    • Recent divergence between wholesale and consumer prices in India-a statistical exploration
    • Samanta G., Mitra S. Recent divergence between wholesale and consumer prices in India-a statistical exploration. RBI Occasional Papers 1998, 19.
    • (1998) RBI Occasional Papers , pp. 19
    • Samanta, G.1    Mitra, S.2
  • 39
    • 78049281450 scopus 로고    scopus 로고
    • Empirical psychology between wholesale price and consumer price indices: the case of Pakistan
    • Shahbaz M., Wahid A.N.M., Haider A. Empirical psychology between wholesale price and consumer price indices: the case of Pakistan. Singapore Economic Review 2010, 55:537-551.
    • (2010) Singapore Economic Review , vol.55 , pp. 537-551
    • Shahbaz, M.1    Wahid, A.N.M.2    Haider, A.3
  • 40
    • 84864408898 scopus 로고    scopus 로고
    • Causality links between CPI and WPI-an econometric exploration
    • Shunmugam, V., 2009. Causality links between CPI and WPI-an econometric exploration. Mimeo.
    • (2009) Mimeo
    • Shunmugam, V.1
  • 42
    • 84856255591 scopus 로고    scopus 로고
    • Tax burden and GDP: evidence from frequency domain approach for the USA
    • Tiwari Aviral K. Tax burden and GDP: evidence from frequency domain approach for the USA. Economics Bulletin 2012, 32:147-159.
    • (2012) Economics Bulletin , vol.32 , pp. 147-159
    • Tiwari, A.K.1
  • 43
    • 0000383532 scopus 로고
    • Statistical inference in vector autoregressions with possibly integrated processes
    • Toda H.Y., Yamamoto T. Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics 1995, 66:225-250.
    • (1995) Journal of Econometrics , vol.66 , pp. 225-250
    • Toda, H.Y.1    Yamamoto, T.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.