Abstract

CERQUERA-LOSADA, Óscar Hernán; MURCIA-ARIAS, Juan Pablo  and  CONDE-GUZMAN, Jonás. Relationship between the Consumer Price Index and the Producer Price Index for Six South American Countries. Apuntes del Cenes [online]. 2018, vol.37, n.66, pp.39-74. ISSN 0120-3053.  https://doi.org/10.19053/01203053.v37.n66.2019.6601.

This paper analyzes the relationship between the consumer price index and the producer price index for six countries in South America: Brazil, Colombia, Ecuador, Peru, Paraguay and Uruguay. To determine this relationship autoregressive vector models and error correction vector models were estimated. In addition, the impulse response analysis was performed, and the Toda and Yamamoto causality test was applied. The data's periodicity is annual, and the period of time varies for each country, due to the availability of information. According to the characteristics of the variables, three VAR models and three VEC models were estimated. Despite this, it is observed that both indicators show sensitivity to sudden shocks both in themselves as in the other variable, effect that varies according to the characteristics of each country. In Brazil, Colombia, Ecuador and Uruguay, there is no causality between the two variables, contrary to Peru and Paraguay.

Keywords : autoregressive vector model; error correction vector model; unit root; cointegration; causality.

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