PRICE CHANGE TRANSMISSION MECHANISM FROM PRODUCER PRICE INDEX TO CONSUMER PRICE INDEX IN IRAN

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FOTROS M.H.; TORKAMANI M.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Paper Information

Journal: Iranian Journal of Economic Research Year:2008 | Volume:10 | Issue:35 Page(s): 141-158

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Information Journal Paper

Title

PRICE CHANGE TRANSMISSION MECHANISM FROM PRODUCER PRICE INDEX TO CONSUMER PRICE INDEX IN IRAN

Author(s)

FOTROS M.H. | TORKAMANI M. | Issue Writer Certificate

Keywords

PRODUCER PRICE INDEXQ2

WHOLESALE PRICE INDEXQ3

CONSUMER PRICE INDEXQ2

VECTOR AUTOREGRESSIVE METHODQ2

Abstract

This paper looks studies the price change transmission mechanism from PRODUCER PRICE INDEX to CONSUMER PRICE INDEX using Vector Autoregressive (VAR) model. We use the monthly data on the PPI, WPI, and CPI for the period 1990:4 to 2005:3. The Results from impulse response function suggest that a positive shock in PPI makes the WPI and CPI to rise immediately and it lasts for more than 12 months. Moreover, a positive shock in WPI makes CPI to rise but in less than 6 months it becomes statistically insignificant in less than 6 months. Moreover, the Variance decomposition of CPI suggests that PPI is the most influential factor in CPI changes, The variance decomposition of WPI also suggests that PPI is a significant factor in WPI changes.

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APA: Copy

FOTROS, M.H., & TORKAMANI, M.. (2008). PRICE CHANGE TRANSMISSION MECHANISM FROM PRODUCER PRICE INDEX TO CONSUMER PRICE INDEX IN IRAN. IRANIAN ECONOMIC RESEARCH, 10(35), 141-158. SID. https://sid.ir/paper/2649/en

Vancouver: Copy

FOTROS M.H., TORKAMANI M.. PRICE CHANGE TRANSMISSION MECHANISM FROM PRODUCER PRICE INDEX TO CONSUMER PRICE INDEX IN IRAN. IRANIAN ECONOMIC RESEARCH[Internet]. 2008;10(35):141-158. Available from: https://sid.ir/paper/2649/en

IEEE: Copy

M.H. FOTROS, and M. TORKAMANI, “PRICE CHANGE TRANSMISSION MECHANISM FROM PRODUCER PRICE INDEX TO CONSUMER PRICE INDEX IN IRAN,” IRANIAN ECONOMIC RESEARCH, vol. 10, no. 35, pp. 141–158, 2008, [Online]. Available: https://sid.ir/paper/2649/en

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