Revisiting the price puzzle in Chile
Economic theory argues that a contractionary monetary policy has a negative impact on inflation. Despite this, evidence from the empirical literature frequently finds that the estimated impulse-response function of a vector autoregressive (VAR) model implies that inflation increases after an unexpec...
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| Lenguaje: | English |
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Banco Central de Chile
2020
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| Acceso en línea: | https://hdl.handle.net/20.500.12580/4860 https://ideas.repec.org/a/chb/bcchni/v20y2017i1p072-079.html |
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oai-20.500.12580-48602021-04-24T20:40:06Z Revisiting the price puzzle in Chile Pedersen, Michael POLÍTICA MONETARIA INFLACIÓN PRECIOS Economic theory argues that a contractionary monetary policy has a negative impact on inflation. Despite this, evidence from the empirical literature frequently finds that the estimated impulse-response function of a vector autoregressive (VAR) model implies that inflation increases after an unexpected monetary shock. This is referred to as the price puzzle and was first noted by Sims (1992) for a number of industrialized countries. The present note revisits the price puzzle in Chile with data from 2002 to 2016. Even though the results are not statistically significant, they do show an interesting feature. In line with the main part of the earlier literature, inflation increases after an unexpected monetary shock in the pre-crises period suggesting the presence of a price puzzle in Chile. After the crisis, however, inflation decreases following a monetary shock. This is in contrast with earlier evidence for Chile suggesting that the price puzzle is no longer present. 2020-05-27T19:15:22Z 2020-05-27T19:15:22Z 2017-04 Nota de Investigación 0717-3830 https://hdl.handle.net/20.500.12580/4860 https://ideas.repec.org/a/chb/bcchni/v20y2017i1p072-079.html en Economía chilena, vol. 20, no. 1 Attribution-NonCommercial-NoDerivs 3.0 Chile Attribution-NonCommercial-NoDerivs 3.0 Chile http://creativecommons.org/licenses/by-nc-nd/3.0/cl/ http://creativecommons.org/licenses/by-nc-nd/3.0/cl/ .pdf Sección o Parte de un Documento p. 072-079 application/pdf CHILE Banco Central de Chile |
| institution |
Banco Central |
| collection |
Banco Central |
| language |
English |
| topic |
POLÍTICA MONETARIA INFLACIÓN PRECIOS |
| spellingShingle |
POLÍTICA MONETARIA INFLACIÓN PRECIOS Pedersen, Michael Revisiting the price puzzle in Chile |
| description |
Economic theory argues that a contractionary monetary policy has a negative impact on inflation. Despite this, evidence from the empirical literature frequently finds that the estimated impulse-response function of a vector autoregressive (VAR) model implies that inflation increases after an unexpected monetary shock. This is referred to as the price puzzle and was first noted by Sims (1992) for a number of industrialized countries. The present note revisits the price puzzle in Chile with data from 2002 to 2016. Even though the results are not statistically significant, they do show an interesting feature. In line with the main part of the earlier literature, inflation increases after an unexpected monetary shock in the pre-crises period suggesting the presence of a price puzzle in Chile. After the crisis, however, inflation decreases following a monetary shock. This is in contrast with earlier evidence for Chile suggesting that the price puzzle is no longer present. |
| format |
Nota de Investigación |
| author |
Pedersen, Michael |
| author_facet |
Pedersen, Michael |
| author_sort |
Pedersen, Michael |
| title |
Revisiting the price puzzle in Chile |
| title_short |
Revisiting the price puzzle in Chile |
| title_full |
Revisiting the price puzzle in Chile |
| title_fullStr |
Revisiting the price puzzle in Chile |
| title_full_unstemmed |
Revisiting the price puzzle in Chile |
| title_sort |
revisiting the price puzzle in chile |
| publisher |
Banco Central de Chile |
| publishDate |
2020 |
| url |
https://hdl.handle.net/20.500.12580/4860 https://ideas.repec.org/a/chb/bcchni/v20y2017i1p072-079.html |
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AT pedersenmichael revisitingthepricepuzzleinchile |
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