Publication: Still puzzling: evaluating the price puzzle in an empirically identified structural vector autoregression
dc.contributor.coauthor | Hoover, Kevin D. | |
dc.contributor.coauthor | Perez, Stephen J. | |
dc.contributor.department | Department of Economics | |
dc.contributor.kuauthor | Demiralp, Selva | |
dc.contributor.schoolcollegeinstitute | College of Administrative Sciences and Economics | |
dc.date.accessioned | 2024-11-09T23:13:47Z | |
dc.date.issued | 2014 | |
dc.description.abstract | The 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.indexedby | WOS | |
dc.description.indexedby | Scopus | |
dc.description.issue | 2 | |
dc.description.openaccess | NO | |
dc.description.publisherscope | International | |
dc.description.sponsoredbyTubitakEu | N/A | |
dc.description.volume | 46 | |
dc.identifier.doi | 10.1007/s00181-013-0694-5 | |
dc.identifier.eissn | 1435-8921 | |
dc.identifier.issn | 0377-7332 | |
dc.identifier.quartile | Q2 | |
dc.identifier.scopus | 2-s2.0-84893737442 | |
dc.identifier.uri | https://doi.org/10.1007/s00181-013-0694-5 | |
dc.identifier.uri | https://hdl.handle.net/20.500.14288/10047 | |
dc.identifier.wos | 331006400013 | |
dc.keywords | Price puzzle | |
dc.keywords | Monetary policy | |
dc.keywords | Graph theory | |
dc.keywords | Causal search | |
dc.keywords | Output gap | |
dc.keywords | Transmission mechanism monetary-policy shocks | |
dc.keywords | Federal-funds rate | |
dc.keywords | Transmission | |
dc.keywords | Causality | |
dc.keywords | Growth | |
dc.keywords | Model | |
dc.language.iso | eng | |
dc.publisher | Physica-Verlag Gmbh & Co | |
dc.relation.ispartof | Empirical Economics | |
dc.subject | Economics | |
dc.subject | Social Sciences | |
dc.subject | Mathematical methods | |
dc.title | Still puzzling: evaluating the price puzzle in an empirically identified structural vector autoregression | |
dc.type | Journal Article | |
dspace.entity.type | Publication | |
local.contributor.kuauthor | Demiralp, Selva | |
local.publication.orgunit1 | College of Administrative Sciences and Economics | |
local.publication.orgunit2 | Department of Economics | |
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