The price puzzle reconsidered

• 成果类型: Article
• 署名作者: Hanson, MS
• 署名单位: Wesleyan University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2003.12.006
• 发表日期: 2004
• 页码: 1385-1413
• 关键词: structural VAR models; monetary policy reaction function; inflation forecasting; commodity prices

摘要

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 all 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. (C) 2004 Elsevier B.V.. All rights reserved.