Abstract

GOMEZ AGUIRRE, Mario  and  NAVARRO CHAVEZ, José César Lenin. Causal link between the producer price index and consumer price index incorporating structural change: The case of Mexico. Contad. Adm [online]. 2014, vol.59, n.2, pp.179-196. ISSN 0186-1042.

This paper analyzes the causal relationship between producer and consumer prices in the case of Mexico during the period 1994:01-2012:02. To do this, we use three unit root tests (Dickey-Fuller, 1979 y 1981; Phillips-Perron, 1988; Lee-Strazicich, 2003) and two tests of causality (Granger, 1969; Toda y Yamamoto,1995). The results indicate that taking into account structural changes and the deterministic trend, both price indexes are stationary. We find unidirectional causal relationship running from CPI to IPP.

Keywords : causality; unit root; structural change; Mexico.

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