Is There a Swiss Price Puzzle?

Artikel

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Swiss Journal of Economics and Statistics ; ISSN: 2235-6282 ; Volume: 148 ; Year: 2012 ; Issue: 1 ; Pages: 57-75 ; Heidelberg: Springer

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Price Level; Inflation; Deflation ; Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Principal Components; Factor Models
• Thema: monetary policy transmission ; price puzzle ; cost channel ; factor-augmented VAR

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Kaufmann, Daniel ; Lein, Sarah M.
• Ereignis: Veröffentlichung
• (wer): Springer
• (wo): Heidelberg
• (wann): 2012

Weitere Informationen

• DOI: doi:10.1007/BF03399360
• Handle: http://hdl.handle.net/10419/185994
• Letzte Aktualisierung: 10.03.2025, 11:47 MEZ