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

Author

Listed:
  • Katarina Juselius

    (Institute of Economics, University of Copenhagen)

Abstract
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.

Suggested Citation

  • Katarina Juselius, 1997. "Do prices move together in the long run? An I(2) analysis of six price indices," Discussion Papers 97-21, University of Copenhagen. Department of Economics, revised Sep 1999.
    • Handle: RePEc:kud:kuiedp:9721
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    File URL: http://www.econ.ku.dk/english/research/publications/wp/1997/9721.pdf/
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    Citations

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    Cited by:

    1. Assenmacher-Wesche, Katrin & Beyer, Andreas, 2019. "A cointegration model of money and wealth," CFS Working Paper Series 619, Center for Financial Studies (CFS).

    More about this item

    Keywords

    multicointegrated VAR; I(2) analysis; commodity prices;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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