Publication detail

How to Solve the Price Puzzle? A Meta-Analysis

Author(s): prof. PhDr. Tomáš Havránek Ph.D.,
prof. Roman Horváth Ph.D.,
PhDr. Marek Rusnák M.A., Ph.D.,
Type: IES Working Papers
Year: 2011
Number: 24
Published in: IES Working Papers 24/2011
Publishing place: Prague
Keywords: Monetary policy transmission; Price puzzle; Meta-analysis; Publication selection bias
JEL codes: C83; E52
Suggested Citation: 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.
Grants: GACR P402/11/1487 Monetary Policy, Financial Stability, and Financial Crisis GAUK 76810 Development and Application of Meta-Analytic Methods in Economics
Abstract: 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.
Downloadable: WP 2011_24_Rusnak, Havranek, Horvath


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