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  • Does CPI Granger-cause WPI? New extensions from frequency domain approach in Pakistan

    Author(s)
    Shahbaz, Muhammad
    Tiwari, Aviral Kumar
    Tahir, Mohammad
    Griffith University Author(s)
    Tahir, Mohammad I.
    Year published
    2012
    Metadata
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    Abstract
    The present study significantly contributes to the economic literature by investigating the direction of causality between WPI and CPI by applying frequency domain causality approach developed by Lemmens et al. (2008) based on spectral approach. We use monthly frequency data covering the period of 1961-2010 in case of Pakistan. Our results provide evidence of cointegration between the variables. Furthermore, we find unidirectional causal relationship running from CPI to WPI that varies across frequencies i.e., CPI Granger-causes WPI at lower, medium as well as higher level of frequencies reflecting long-run, medium and ...
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    The present study significantly contributes to the economic literature by investigating the direction of causality between WPI and CPI by applying frequency domain causality approach developed by Lemmens et al. (2008) based on spectral approach. We use monthly frequency data covering the period of 1961-2010 in case of Pakistan. Our results provide evidence of cointegration between the variables. Furthermore, we find unidirectional causal relationship running from CPI to WPI that varies across frequencies i.e., CPI Granger-causes WPI at lower, medium as well as higher level of frequencies reflecting long-run, medium and short-run cycles. This implies that CPI should be a leading indicator for important policy decisions pertaining to monetary or fiscal policies in Pakistan.
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    Journal Title
    Economic Modelling
    Volume
    29
    Issue
    5
    DOI
    https://doi.org/10.1016/j.econmod.2012.05.016
    Subject
    Applied Economics not elsewhere classified
    Applied Economics
    Econometrics
    Banking, Finance and Investment
    Publication URI
    http://hdl.handle.net/10072/52044
    Collection
    • Journal articles

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