Decomposing time-frequency relationship between producer price and consumer price indices in Romania through wavelet analysis |
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| Affiliation: | 1. Faculty of Management, ICFAI University Tripura, Kamalghat, Sadar, West Tripura, Pin-799210, India;2. West University of Timisoara, Faculty of Economics and Business Administration, 16, J.H. Pestalozzi Street, 300115, Timisoara, Romania;3. LEO (Laboratoire d''Economie d''Orléans) UMR7322, Faculté de Droit d''Economie et de Gestion, University of Orléans, Rue de Blois - B.P. 6739, 45067, Orléans, France;4. Alexandru Ioan Cuza University of Iasi, Faculty of Economics and Business Administration, B-dul Carol 1 nr.22, Iasi, 700505, Romania;1. University of Hohenheim, Germany;2. Ministry of Finance and Public Administration, Madrid, Spain |
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| Abstract: | This 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. |
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