This paper not only proves the VAR system with sign restriction to avoid a price puzzle, but also implements the estimation of FAVAR model with sign restriction in the Bayesian framework, which simulates the large data environments better. The results show that the impulse response of the prices is minus which means that the price puzzle is avoided; monetary policy is not neutral; money supply and interest rates can be treated as policy instrument of significance; monetary policy affects the real estate and financial markets.

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