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Is there a Swiss price puzzle?
Auteur(s)
Lein, Sarah
Date de parution
2012-12-27
In
Swiss Journal of Economics and Statistics
No
148
De la page
57
A la page
75
Revu par les pairs
1
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.
Identifiants
Autre version
https://sjes.springeropen.com/articles/10.1007/BF03399360
Type de publication
journal article
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