Is there a price puzzle in Brazil? An application of Bias-Corrected Bootstrap

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 level. The result was con?rmed 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 identi?cation scheme employed by Christiano et al. (2000). In a methodological improvement over these studies, I qualify the results with the construction of bias-corrected bootstrap con?dence intervals. Even though the data does show the existence of a statistically signi?cant price puzzle in Brazil, it lasts for only one quarter and is quantitatively immaterial