Date: 2010
Type: Article

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

Economics letters, 2010, 106, 3, 147-150  
 
KRUSEC, Dejan, The 'price puzzle' in the monetary transmission VARs with long-run restrictions, Economics letters, 2010, 106, 3, 147-150   - https://hdl.handle.net/1814/17322

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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.
 
Cadmus permanent link: https://hdl.handle.net/1814/17322
Full-text via DOI: 10.1016/j.econlet.2009.04.027
ISSN: 0165-1765
Keyword(s): Vector-autoregressive models Cointegration Price level Interest rates Monetary systems

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