Relationship between the Consumer Price Index and the Producer Price Index for Six South American Countries
This paper analyzes the relationship between the consumer price index and the producer price index for six South American countries Brazil, Colombia, Ecuador, Peru, Paraguay and Uruguay. To determine this relationship we estimated an autoregressive vector model or a model of error correction vectors...
| Main Authors: | , , |
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| Format: | Online |
| Language: | eng |
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Universidad Pedagógica y Tecnológica de Colombia
2018
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| Online Access: | https://revistas.uptc.edu.co/index.php/cenes/article/view/6601 |
| _version_ | 1801705958613712896 |
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| author | Cerquera Losada, Oscar Hernán Murcia Arias, Juan Pablo Conde Guzmán, Jonas |
| author_facet | Cerquera Losada, Oscar Hernán Murcia Arias, Juan Pablo Conde Guzmán, Jonas |
| author_sort | Cerquera Losada, Oscar Hernán |
| collection | OJS |
| description | This paper analyzes the relationship between the consumer price index and the producer price index for six South American countries Brazil, Colombia, Ecuador, Peru, Paraguay and Uruguay. To determine this relationship we estimated an autoregressive vector model or a model of error correction vectors, depending on the level of integration of the two variables for each country. In addition, the impulse response analysis was performed, and the Toda and Yamamoto causality test was developed. The periodicity of the data varies for each country, as it depends on the availability of the information. Three VAR models (Brazil, Peru and Uruguay) and three VEC models were applied (Colombia, Ecuador and Paraguay) the estimated VAR models, is that in the impulse response function, after a shock of the CPI and / or the PPI on the other variable and on itself, the effects disappear in time and the variables return to their original values. In the VEC model on the other hand, after a shock of the CPI and / or the PPI on the other variable and on itself, the effects do not disappear in time, and therefore the variables present permanent changes in the time. |
| format | Online |
| id | oai:oai.revistas.uptc.edu.co:article-6601 |
| institution | Revista Apuntes del Cenes |
| language | eng |
| publishDate | 2018 |
| publisher | Universidad Pedagógica y Tecnológica de Colombia |
| record_format | ojs |
| spelling | oai:oai.revistas.uptc.edu.co:article-66012022-06-17T21:34:48Z Relationship between the Consumer Price Index and the Producer Price Index for Six South American Countries Relación entre el índice de precios al consumidor y el índice de precios al productor para seis países de Suramérica Cerquera Losada, Oscar Hernán Murcia Arias, Juan Pablo Conde Guzmán, Jonas autoregressive vector model error correction vector model unit root cointegration causality modelo de vectores autorregresivos modelo de vectores de corrección de error raíz unitaria co-integración causalidad This paper analyzes the relationship between the consumer price index and the producer price index for six South American countries Brazil, Colombia, Ecuador, Peru, Paraguay and Uruguay. To determine this relationship we estimated an autoregressive vector model or a model of error correction vectors, depending on the level of integration of the two variables for each country. In addition, the impulse response analysis was performed, and the Toda and Yamamoto causality test was developed. The periodicity of the data varies for each country, as it depends on the availability of the information. Three VAR models (Brazil, Peru and Uruguay) and three VEC models were applied (Colombia, Ecuador and Paraguay) the estimated VAR models, is that in the impulse response function, after a shock of the CPI and / or the PPI on the other variable and on itself, the effects disappear in time and the variables return to their original values. In the VEC model on the other hand, after a shock of the CPI and / or the PPI on the other variable and on itself, the effects do not disappear in time, and therefore the variables present permanent changes in the time. Este trabajo analiza la relación entre el índice de precios al consumidor y el índice de precios al productor para seis países de Suramérica, Brasil, Colombia, Ecuador, Perú, Paraguay y Uruguay. Para determinar esta relación se estimaron modelos de vectores autorregresivos y modelos de vectores de corrección de error. Además, se realizó el análisis de impulso respuesta, y se desarrolló la prueba de causalidad de Toda y Yamamoto. La periodicidad de los datos es anual, y el periodo de tiempo varía para cada país, debido a la disponibilidad de la información. De acuerdo con las características de las variables, se estimaron tres modelos VAR y tres modelos VEC. Tanto el IPC como el IPP tienen diferentes enfoques en términos de composición para cada país. A pesar de esto, se observa que ambos indicadores muestran sensibilidad a los shocks repentinos tanto en sí mismos como en la otra variable, efecto que varía según las características de cada país. En Brasil, Colombia, Ecuador y Uruguay no se presente causalidad entre las dos variables, caso contrario al de Perú y Paraguay. Universidad Pedagógica y Tecnológica de Colombia 2018-06-25 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Peer reviewed Article application/pdf application/xml https://revistas.uptc.edu.co/index.php/cenes/article/view/6601 10.19053/01203053.v37.n66.2019.6601 Apuntes del Cenes; Vol. 37 No. 66 (2018); 39-74 Apuntes del Cenes; Vol. 37 Núm. 66 (2018); 39-74 2256-5779 0120-3053 eng https://revistas.uptc.edu.co/index.php/cenes/article/view/6601/7252 https://revistas.uptc.edu.co/index.php/cenes/article/view/6601/7993 Copyright (c) 2018 Oscar Hernán Cerquera Losada, Juan Pablo Murcia Arias, Jonas Conde Guzmán http://creativecommons.org/licenses/by-nc-sa/4.0 |
| spellingShingle | autoregressive vector model error correction vector model unit root cointegration causality modelo de vectores autorregresivos modelo de vectores de corrección de error raíz unitaria co-integración causalidad Cerquera Losada, Oscar Hernán Murcia Arias, Juan Pablo Conde Guzmán, Jonas Relationship between the Consumer Price Index and the Producer Price Index for Six South American Countries |
| title | Relationship between the Consumer Price Index and the Producer Price Index for Six South American Countries |
| title_alt | Relación entre el índice de precios al consumidor y el índice de precios al productor para seis países de Suramérica |
| title_full | Relationship between the Consumer Price Index and the Producer Price Index for Six South American Countries |
| title_fullStr | Relationship between the Consumer Price Index and the Producer Price Index for Six South American Countries |
| title_full_unstemmed | Relationship between the Consumer Price Index and the Producer Price Index for Six South American Countries |
| title_short | Relationship between the Consumer Price Index and the Producer Price Index for Six South American Countries |
| title_sort | relationship between the consumer price index and the producer price index for six south american countries |
| topic | autoregressive vector model error correction vector model unit root cointegration causality modelo de vectores autorregresivos modelo de vectores de corrección de error raíz unitaria co-integración causalidad |
| topic_facet | autoregressive vector model error correction vector model unit root cointegration causality modelo de vectores autorregresivos modelo de vectores de corrección de error raíz unitaria co-integración causalidad |
| url | https://revistas.uptc.edu.co/index.php/cenes/article/view/6601 |
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