Decomposing time-frequency relationship between producer price and consumer price indices in Romania through wavelet analysis

摘要

This study analyses Granger-causality between the return series of CPI and PPI (i.e., inflation measured by CPI and PPI) for Romania, by using monthly data covering the period of 1991 ml to 2011 ml 1. To analyse the issue in depth, this study decomposes the time-frequency relationship between CPI- and PPI-based inflation through a continuous wavelet approach. Our results provide strong evidence that there are cyclical effects from variables (as variables are observed in phase), while anti-cyclical effects are not observed.