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How to Solve the Price Puzzle? A Meta‐Analysis

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  • MAREK RUSNAK
  • TOMAS HAVRANEK
  • ROMAN HORVATH

Abstract

The short-run increase in prices following an unexpected tightening of monetary policy represents a frequently reported puzzle. Yet the puzzle is surprisingly easy to explain away when all published models are quantitatively reviewed. We collect about 1,000 point estimates of impulse responses from 70 articles using vector autoregressive models and present a simple method of research synthesis for graphical results. We find some evidence of publication selection against the price puzzle. Our results suggest that the reported impulse responses depend systematically on the study design: when misspecifications are filtered out, the average impulse response shows that prices decrease soon after a tightening. The long-run response of prices to monetary policy shocks depends on the characteristics of the economy.

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File URL: http://hdl.handle.net/10.1111/j.1538-4616.2012.00561.x
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Bibliographic Info

Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 45 (2013)
Issue (Month): 1 (02)
Pages: 37-70

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Handle: RePEc:mcb:jmoncb:v:45:y:2013:i:1:p:37-70

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

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  1. Meta-analyzing the price puzzle
    by Economic Logician in Economic Logic on 2011-11-21 15:45:00
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Cited by:
  1. Jan Babecky & Tomas Havranek, 2013. "Structural Reforms and Growth in Transition: A Meta-Analysis," Working Papers IES 2013/14, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2013.
  2. Sebastian Gechert & Henner Will, 2012. "Fiscal Multipliers: A Meta Regression Analysis," IMK Working Paper 97-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
  3. Jose Peydro Alcalde & Sona Benecka & Alexis Derviz & Adam Gersl & Tomas Holub & Roman Horvath & Petr Jakubik & Narcisa Liliana Kadlcakova & Dorota Kowalczyk & Ivana Kubicova & Steven Ongena & Jakub Ry, 2012. "Financial Stability and Monetary Policy," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, edition 2, volume 10, number rb10/2 edited by Jan Babecky & Roman Horvath.
  4. Jan Babecky & Tomas Havranek, 2014. "Structural reforms and growth in transition," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 22(1), pages 13-42, 01.
  5. Robert Ambrisko & Vitezslav Augusta & Jan Babecky & Michal Franta & Dana Hajkova & Petr Kral & Jan Libich & Pavla Netusilova & Milan Rikovsky & Jakub Rysanek & Pavel Soukup & Petr Stehlik & Vilem Vale, 2013. "Macroeconomic Effects of Fiscal Policy," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, edition 2, volume 11, number rb11/2 edited by Jan Babecky & Kamil Galuscak.
  6. Tomas Havranek & Marek Rusnak, 2012. "Transmission Lags of Monetary Policy: A Meta-Analysis," William Davidson Institute Working Papers Series wp1038, William Davidson Institute at the University of Michigan.
  7. Petra Valickova & Tomas Havranek & Roman Horvath, 2013. "Financial Development and Economic Growth: A Meta-Analysis," Working Papers IES 2013/04, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2013.
  8. Sebastian Gechert, 2013. "What fiscal policy is most effective? A Meta Regression Analysis," IMK Working Paper 117-2013, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
  9. Berlemann, Michael & Freese, Julia, 2010. "Monetary Policy and Real Estate Prices: A Disaggregated Analysis for Switzerland," Working Paper 105/2010, Helmut Schmidt University, Hamburg.
  10. Katerina Arnostova & Jozef Barunik & Jan Filacek & Michal Franta & David Havrlant & Roman Horvath & Filip Novotny & Marie Rakova & Lubos Ruzicka & Branislav Saxa & Katerina Smidkova & Peter Toth, 2012. "Macroeconomic Forecasting: Methods, Accuracy and Coordination," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, edition 1, volume 10, number rb10/1 edited by Jan Babecky.
  11. Tomas Havranek, 2013. "Publication Bias in Measuring Intertemporal Substitution," Working Papers IES 2013/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2013.
  12. Jan Babecky & Tomas Havranek, 2013. "Structural Reforms and Economic Growth: A Meta-Analysis," Working Papers 2013/08, Czech National Bank, Research Department.

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  1. Monetary policy in Wikipedia (English)
  2. Meta-Analysis in Economics
  3. Economic Logic blog

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