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Relación de causalidad entre el índice de precios del productor y el índice de precios del consumidor incorporando cambios estructurales. El caso de México

Author

Listed:
  • Gómez Aguirre Mario

    (Universidad Michoacana de San Nicolás de Hidalgo)

  • Lenin Navarro Chávez José César

    (Universidad Michoacana de San Nicolás de Hidalgo)

Abstract

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.

Suggested Citation

  • Gómez Aguirre Mario & Lenin Navarro Chávez José César, 2014. "Relación de causalidad entre el índice de precios del productor y el índice de precios del consumidor incorporando cambios estructurales. El caso de México," Contaduría y Administración, Accounting and Management, vol. 59(2), pages 179-196, abril-jun.
    • Handle: RePEc:nax:conyad:v:59:y:2014:i:2:p:179-196
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    References listed on IDEAS

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    More about this item

    Keywords

    precio; causalidad; raíz unitaria; cambio estructural; México;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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