Abstract
The aim of the study is to evaluate the asymmetric impacts of producer price on consumer prices and cointegration relationship between two price indexes for Turkish economy from 2003.M1 to 2022.M12. Another aim is to analyze the causality between Producer Price Index (PPI) and Consumer Prıce Index (CPI). The Autoregressive Distributed Lag Model (ARDL) and Non-Linear Autoregressive Distributed Lag Model (NARDL) is estimated to determine relation between PPI and CPI and asymmetric effects of PPI on CPI. The causality relation is examined using Toda-Yamamoto Granger Causality method. According to the results, there is a cointegration relation between CPI and PPI. The ARDL model implies that PPI has a positive impact on CPI both in the short time period and in the long time period. The NARDL model indicates that although positive shocks to the PPI have positive effects on CPI, negative shocks do not have statistically significant effect on CPI. In addition to these results, Toda-Yamamoto Granger Causality method indicates that a bidirectional causality is found between two price indexes.
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