Boivin, Jean; Giannoni, Marc P.; Mihov, Ilian - Center for Financial Studies - 2007
Bernanke,
Boivin and Eliasz (2005), such evidence of price puzzle may be indicative of VAR misspecifi-
cation due, e.g., to the … autore-
gression model (FAVAR) described in Bernanke, Boivin and Eliasz (2005) (BBE). One of its
key features is to provide … when and by how much various prices are changed
following a monetary policy shock.
Since Bernanke and Blinder (1992) and …