Jean-François Emmenegger, Tamara Bardadym
Department of Quantitative Economics
University of Fribourg
Boulevard de Pérolles 90
Fribourg, 1700, SWITZERLAND
e-mail: jean-francois.emmenegger@unifr.ch
V.M. Glushkov Institute of Cybernetics
40, Academician Glushkov Avenue, Kiev, 03187, UKRAINE
e-mail: tamara@bardadym.pp.kiev.ua

Abstract.The main purpose of this paper is to propose [#!Johansen2!#] methodology of linear cointegration analysis as a tool to measure the purchasing power of the Ukrainian mean monthly total wages (MTW) within the period of November 1993 to December 2004, expressed in terms of prices of some basic food products or of the consumer price index (CPI). Nineteen monthly price time series of basic food products, the CPI and the MTW, published by the State Committee of Statistics of Ukraine (Derzhkomstat) have been selected. Preliminary studies of stationarity are undertaken to establish their degree of integratedness with a battery of adequate unit root tests. A cointegration analysis of couples of one of these price time series of some basic food products, respectively the CPI, and the MTW time series are realised, yielding linear functions between both selected series, establishing tentative long-run equilibrium relations for subperiods shorter than the interval 1993 to 2004. These cointegration analyses show that the purchasing power of the MTW, expressed in terms of the prices of some basic food products, respectively the CPI, gradually increased from 1993 to 2004.

Received: October 23, 2006

AMS Subject Classification: 90A20

Key Words and Phrases: purchasing power, economic time series, ARIMA-model, unit root, VAR-model, cointegration analysis, long-run equilibrium relation

Source: International Journal of Pure and Applied Mathematics
ISSN: 1311-8080
Year: 2007
Volume: 34
Issue: 1