The basic objective of this paper is to analyse the dynamics of inflation in India by using cointegration and vector autoregression over the period of past more than three decades. Inflation is measured by considering wholesale as well as consumer price index of different types. Neither long run, nor short run dynamic relationship has been observed between the wholesale and consumer price indices implying that stochastic properties of them are different. Money price relationship is very strong in the case of inflation measured by the wholesale price index, while this relationship is statistically insignificant for consumer price index in the short run.
