The behavior of U.S. Producer Price Index : 1913 to 2004
Date
2006
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Volume Title
Publisher
Southern New Hampshire University
Abstract
This 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.
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Version of Record
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Working Paper