Detail publikace

How to Solve the Price Puzzle? A Meta-Analysis

Autor: prof. PhDr. Tomáš Havránek Ph.D.,
prof. Roman Horváth Ph.D.,
PhDr. Marek Rusnák M.A., Ph.D.,
Typ: IES Working Papers
Rok: 2011
Číslo: 24
Publikováno v: IES Working Papers 24/2011
Místo vydání: Prague
Klíčová slova: Monetary policy transmission; Price puzzle; Meta-analysis; Publication selection bias
JEL kódy: C83; E52
Citace: Rusnák, M., Havránek, T., Horváth, R. (2011). “How to Solve the Price Puzzle? A Meta-Analysis” IES Working Paper 24/2011. IES FSV. Charles University.
Granty: GACR P402/11/1487 Monetary Policy, Financial Stability, and Financial Crisis GAUK 76810 Development and Application of Meta-Analytic Methods in Economics
Abstrakt: The short-run increase in prices following an unexpected tightening of monetary policy represents a frequently reported puzzle. Yet the puzzle is easy to explain away when all published models are quantitatively reviewed. We collect and examine about 1,000 point estimates of impulse responses from 70 articles using vector autoregressive models to study monetary transmission in various countries. We find some evidence of publication selection against the price puzzle in the literature, but our results also suggest that the reported puzzle is mostly caused by model misspecifications. Finally, the long-run response of prices to monetary policy shocks depends on the characteristics of the economy.
Ke stažení: WP 2011_24_Rusnak, Havranek, Horvath


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