Center for Financial Studies
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The Center for Financial Studies provides SNHU students and the general community with an integrated educational experience that includes financial analysis and planning.
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Browsing Center for Financial Studies by Author "Thirunavukkarasu, Arul"
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Item The behavior of U.S. Producer Price Index : 1913 to 2004(Southern New Hampshire University, 2006) Hamid, Shaikh A.; Dhakar, Tej S.; Thirunavukkarasu, ArulThis paper analyzes the behavior of U.S. PPI over the period January 1913 to March 2004 using monthly “all commodities index” values. The mean of monthly percentage index changes for the entire data set (0.23%) was significantly greater than zero. January, July and November had mean monthly percentage changes which were significantly greater than the mean changes of the other months over the entire period. March, May and September had mean percentage changes significantly lower than the other months. We find that there is some periodicity to all commodities index. The mean of monthly commodities index changes during the Republican presidencies (0.08%) was significantly lower than the mean changes during the Democratic presidencies (0.38%) and so were the medians. We slice the entire data into three sub-periods. We find that though the means and medians have significantly increased over the three sub-periods, the standard deviations of the means have decreased. Granger causality tests reveal that while oil prices affected the all commodities index and the finished goods index, the causal relationship is not true the other way at the 99% significance level. The findings have implications for policy makers, analysts, investors, and manufacturers.Item Price transmission between DJIA, S&P 500 Index, PPI and CPI(Southern New Hampshire University, 2006) Hamid, Shaikh A.; Thirunavukkarasu, Arul; Rajamanickam, MohanaOur previous work on month effect in the DJIA, CPI and PPI led us to hypothesize that significant negative September effect that we found for the DJIA might have been caused by changes in the CPI and PPI. This led us to explore the nature of price transmission between the three (we add S&P 500 Index as well). Using VAR analysis and Granger causality analysis we find that the DJIA had a 2-month lagged impact on the CPI in the first two periods (1926-1945 and 1946-1972), and on the PPI in the second period (1946-1972); but in none of the three periods was the DJIA significantly impacted by the PPI or the CPI. For the period 1972-2003, the CPI and PPI were significantly unaffected by the DJIA and the S&P500 Index and also the DJIA and the S&P500 were also not affected significantly by the CPI and PPI. These results follow from both the VAR analysis and Granger causality tests.