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Article Dans Une Revue Applied Economics Letters Année : 2006

The 'Price Puzzle', once more

Résumé

The VAR monetary literature has long exhibited a ‘price puzzle’: after a positive innovation on the policy interest rate, the price level tends to increase rather than to decrease. This paper shows that introducing fiscal data (primary surplus and net debt) proves fruitful in a VAR model also featuring the output gap, the inflation rate and the nominal short-term interest rate: the ‘price puzzle’ vanishes.
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Dates et versions

hal-03416028 , version 1 (05-11-2021)

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Jérôme Creel. The 'Price Puzzle', once more. Applied Economics Letters, 2006, 13, pp.183 - 187. ⟨10.1080/13504850500392867⟩. ⟨hal-03416028⟩

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