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Is there a Swiss price puzzle?

Daniel Kaufmann & Sarah Lein

Résumé This paper estimates the response of consumer prices to a monetary policy shock in Switzerland. We find that there is no evidence of a price puzzle at the aggregate level. This is because our factor-augmented vector autoregression (FAVAR) avoids misspecification by including more information than a traditional VAR. However, the response is still delayed by at least four quarters, partly because there is a price puzzle in some sectors. In particular, rents tend to rise after a monetary policy tightening because there are legal provisions in Switzerland which link them to interest rates. But durable goods prices also rise, which is consistent with the existence of a cost channel of monetary policy.
   
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Citation Kaufmann, D., & Lein, S. (2012). Is there a Swiss price puzzle?. Swiss Journal of Economics and Statistics, 148, 57-75.
   
Type Article de périodique (Anglais)
Date de publication 27-12-2012
Nom du périodique Swiss Journal of Economics and Statistics
Volume 148
Pages 57-75
URL https://sjes.springeropen.com/articles/10.1007/BF03399360