The 'price puzzle' in the monetary transmission VARs with long-run restrictions

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The 'price puzzle' in the monetary transmission VARs with long-run restrictions

KRUSEC, Dejan
Title: The 'price puzzle' in the monetary transmission VARs with long-run restrictions
Author: KRUSEC, Dejan
Subject: Vector-autoregressive models; Cointegration; Price level; Interest rates; Monetary systems
Date: 2010
Citation: Economics letters, 2010, 106, 3, 147-150
URI: http://hdl.handle.net/1814/17322
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2009.04.027

Abstract:

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.

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