Papers Published

1. K.D. Hoover, S. Demiralp, and S.J. Perez, “Still Puzzling: Evaluating the Price Puzzle in an Empirically Identified Structural Vector Autoregression”, Empirical Economics (March, 2013).
   (last updated on 2013/11/28)

   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.