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Autoren: 
Kaufmann, Daniel
Lein, Sarah M.
Datum: 
2012
Quellenangabe: 
[Journal:] Swiss Journal of Economics and Statistics [ISSN:] 2235-6282 [Volume:] 148 [Year:] 2012 [Issue:] 1 [Pages:] 57-75
Zusammenfassung: 
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.
Schlagwörter: 
monetary policy transmission
price puzzle
cost channel
factor-augmented VAR
JEL: 
E31
E4
E5
C38
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
https://creativecommons.org/licenses/by/4.0/
Dokumentart: 
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