The Price Puzzle in the Monetary Transmission Vars with Long-Run Restrictions
Title: The Price Puzzle in the Monetary Transmission Vars with Long-Run Restrictions
Author: KRUSEC, Dejan
Publisher: Elsevier Science Sa
Citation: Economics Letters, 2010, 106, 3, 147-150
This study addresses the price puzzle - a positive response of prices to monetary tightening in VAR models. By using long-run instead of the usual short-run restrictions on the US data including output, prices and interest rate, we find that monetary tightening had a negative effect on prices. (c) 2009 Elsevier B.V. All rights reserved.
Subject: Long-run restrictions; Price puzzle; Monetary transmission; VAR; Cointegration
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