This paper proposes a simple explanation for the frequent appearance of a price puzzle in VARs designed for monetary … empirics rather than the introduction of a commodity price. It proves that the omission of a measure of output gap (or … potential output) spuriously produces a price puzzle in a wide class of commonly used models. This can happen even if the model …

find that (i) the US economy is well described by a number of structural shocks between two and five. Focusing on the four-shock …

hand, the estimated effect on nominal variables is reminiscent of the price puzzle. Usual remedies, such as inclusion of … results casting doubt on the usual interpretation that the price puzzle is a statistical artifact. …

residuals of the policy rule equation at these shock dates accordingly. In spite of its utmost agnostic nature, this approach …

This paper studies the effect of a monetary policy shock in the euro area on the main Estonian economic and financial … effects on Estonian GDP, private consumption, corporate investment, and imports. A monetary policy shock also has strong and …