Swiss Journal of Economics and Statistics

, Volume 148, Issue 1, pp 57–75 | Cite as

Is there a Swiss price puzzle?

Open Access


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.


E31 E4 E5 C38 


monetary policy transmission price puzzle cost channel FAVAR 


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Copyright information

© Swiss Society of Economics and Statistics 2012

Authors and Affiliations

  1. 1.Swiss National BankZürichSwitzerland

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