The “price puzzle” reconsidered |
| |
Authors: | Michael S Hanson |
| |
Institution: | Department of Economics, Wesleyan University, 238 Church Street, Middletown, CT 06459-0007, USA |
| |
Abstract: | A large literature has employed structural vector autoregressive (SVAR) models to investigate the empirical effects of U.S. monetary policy. Many of these models regularly produce a “price puzzle”—a rise in the aggregate price level in response to a contractionary innovation to monetary policy—unless commodity prices are included. Conventional wisdom maintains that commodity prices resolve the price puzzle because they contain information that helps the Federal Reserve forecast inflation. I examine a number of plausible alternative indicator variables and find little correlation between an ability to forecast inflation and an ability to resolve the price puzzle. Additionally, a sub-sample investigation reveals that evidence of a price puzzle is associated primarily with the 1959-1979 sample period, and that most indicators—including commodity prices—cannot resolve the puzzle over this period. |
| |
Keywords: | E52 E31 C32 |
本文献已被 ScienceDirect 等数据库收录! |
|