haku: @indexterm inflation / yhteensä: 1175
viite: 10 / 1175
| Tekijä: | Castelnuovo, E. Surico, P. |
| Otsikko: | Monetary policy, inflation expectations and the price puzzle |
| Lehti: | Economic Journal
2010 : DEC, VOL 120:549 p. 1262-1283 |
| Asiasana: | inflation monetary policy prices usa interest rates |
| Vapaa asiasana: | VAR |
| Kieli: | eng |
| Tiivistelmä: | This article re-examines the VAR evidence on the price puzzle and proposes a new theoretical interpretation. Using actual data and two identification strategies based on zero restrictions and model-consistent sign restrictions, it is found that the positive response of prices to a monetary policy shock is historically limited to the sub-samples that are typically associated with a weak interest rate response to inflation. Using pseudo data generated by a sticky price model of the US economy, it is showed that the structural VARs are capable of reproducing the price puzzle only when monetary policy is passive. The omission in the VARs of a variable capturing expected inflation is found to account for the price puzzle observed in simulated and actual data. |
SCIMA