Do prices move together in the long run? An I(2) analysis of six price indices.

The paper discusses methodological questions related to econometric time-series modelling of I(2) data. Long-run and medium-run relationships between two general price indices, the US CPI and WPI and four commodity prices indices, the WBI, CRBI, GSCI, and ECI are investigated in a multivariate sep-up. The statistical concepts of cointegration and polynomial cointegration are related to long-run and short-run price homogeneity.

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Year of publication:	1997-12
Authors:	Juselius, Katarina
Institutions:	Økonomisk Institut, Københavns Universitet
Subject:	multicointegrated VAR \| I(2) analysis \| commodity prices

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Extent:	application/pdf
Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 97-21 20 pages
Classification:	E32 - Business Fluctuations; Cycles ; E31 - Price Level; Inflation; Deflation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005543494