Using data from the United States, Japan, Germany , United Kingdom
and France, Sims (1992) found that positive innovations to shortterm
interest rates led to sharp, persistent increases in the price leveI.
The result was confirmed by other authors and, as a consequence of its
non-expectable nature, was given the name "price puzzle" by Eichenbaum
(1992). In this paper I investigate the existence of a price puzzle
in Brazil using the same type of estimation and benchmark identification
scheme employed by Christiano et aI. (2000). In a methodological
improvement over these studies, I qualify the results with the construction
of bias-corrected bootstrap confidence intervals. Even though the
data does show the existence of a statistically significant price puzzle
in Brazil, it lasts for .only one quarter and is quantitatively immaterial
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