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.

Object Details

• Language: Englisch

References and Relationships

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

Classification and Topics

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

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Kaufmann, Daniel ; Lein, Sarah M.
• Event: Veröffentlichung
• (who): Springer
• (where): Heidelberg
• (when): 2012

Further information

• DOI: doi:10.1007/BF03399360
• Handle: http://hdl.handle.net/10419/185994
• Last update: 10.03.2025, 11:47 AM CET