Publication:
Still puzzling: evaluating the price puzzle in an empirically identified structural vector autoregression

dc.contributor.coauthorHoover, Kevin D.
dc.contributor.coauthorPerez, Stephen J.
dc.contributor.departmentDepartment of Economics
dc.contributor.kuauthorDemiralp, Selva
dc.contributor.schoolcollegeinstituteCollege of Administrative Sciences and Economics
dc.date.accessioned2024-11-09T23:13:47Z
dc.date.issued2014
dc.description.abstractThe price puzzle, an increase in the price level associated with a contractionary monetary shock, is investigated in a rich, 12-variable SVAR in which various factors that have been mooted as solutions are considered jointly. SVARs for the pre-1980 and post-1990 periods are identified empirically using a graph-theoretic causal search algorithm combined with formal tests of the implied overidentifying restrictions. In this SVAR, the pre-1980 price puzzle depends on the characterization of monetary policy, and the post-1990 price puzzle is statistically insignificant. Commonly suggested theoretical resolutions to the price puzzle are shown to have causal implications inconsistent with the data.
dc.description.indexedbyWOS
dc.description.indexedbyScopus
dc.description.issue2
dc.description.openaccessNO
dc.description.publisherscopeInternational
dc.description.sponsoredbyTubitakEuN/A
dc.description.volume46
dc.identifier.doi10.1007/s00181-013-0694-5
dc.identifier.eissn1435-8921
dc.identifier.issn0377-7332
dc.identifier.quartileQ2
dc.identifier.scopus2-s2.0-84893737442
dc.identifier.urihttps://doi.org/10.1007/s00181-013-0694-5
dc.identifier.urihttps://hdl.handle.net/20.500.14288/10047
dc.identifier.wos331006400013
dc.keywordsPrice puzzle
dc.keywordsMonetary policy
dc.keywordsGraph theory
dc.keywordsCausal search
dc.keywordsOutput gap
dc.keywordsTransmission mechanism monetary-policy shocks
dc.keywordsFederal-funds rate
dc.keywordsTransmission
dc.keywordsCausality
dc.keywordsGrowth
dc.keywordsModel
dc.language.isoeng
dc.publisherPhysica-Verlag Gmbh & Co
dc.relation.ispartofEmpirical Economics
dc.subjectEconomics
dc.subjectSocial Sciences
dc.subjectMathematical methods
dc.titleStill puzzling: evaluating the price puzzle in an empirically identified structural vector autoregression
dc.typeJournal Article
dspace.entity.typePublication
local.contributor.kuauthorDemiralp, Selva
local.publication.orgunit1College of Administrative Sciences and Economics
local.publication.orgunit2Department of Economics
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