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CPI vsPPI: A Cointegration Analysis Allowing for Number of Breaks
This study examinesthe relationship producer prices andconsumer prices in Turkey and econometrically investigatescointegration relationship and causality for Turkeyby employing monthly data for the period January, 1986-November, 2015. Even though consumer and producer prices are so sensitive to economic shocks and regime shifts, studies in existing literature analyzing cointegration relationshipbetween producer prices and consumer prices data do not take into account structural breaks. This paper contributes to this point and tries to close this gap for Turkey. We foundthat structural breaks havesignificantimpact on relationship between consumer prices and producer prices and some change might occur when we take into account structural breaks in data.