Journal Articles

1. Demiralp, S; Hoover, KD; Perez, SJ, Still puzzling: Evaluating the price puzzle in an empirically identified structural vector autoregression, Empirical Economics, vol. 46 no. 2 (March, 2014), pp. 701-731 [doi].
   (last updated on 2024/04/23)

   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. © 2013 Springer-Verlag Berlin Heidelberg.