The "price puzzle" in the monetary transmission VARs with long-run restrictions
AbstractThis 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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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 106 (2010)
Issue (Month): 3 (March)
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Web page: http://www.elsevier.com/locate/ecolet
Long-run restrictions "Price puzzle" Monetary transmission VAR Cointegration;
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