Monetary Policy, Inflation Expectations and The Price Puzzle
重新审视价格谜题的VAR证据，发现价格对货币政策冲击的正向响应仅出现在利率对通胀反应弱的子样本中，并证明遗漏通胀预期变量是导致价格谜题的原因。
This paper re-examines the VAR evidence on the price puzzle and proposes a new theoretical interpretation. Using actual data and two identification strategies based on zero restrictions and model-consistent sign restrictions, we find that the positive response of prices to a monetary policy shock is historically limited to the sub-samples that are typically associated with a weak interest rate response to inflation. Using pseudo data generated by a sticky price model of the US economy, we then show that the structural VARs are capable of reproducing the price puzzle only when monetary policy is passive. The omission in the VARs of a variable capturing expected inflation is found to account for the price puzzle observed in simulated and actual data.