This paper aims to enter the literature on the ‘price puzzle’ by assessing the impact of a monetary policy tightening on the level of prices. To do this, we estimate SVAR models based on the US, UK and Japanese data considered for the 1955–2019 period. Our findings show that a monetary policy tightening produces positive and persistent effects on the level of prices by also persistently lowering real wages. Following the so-called ‘cost channel of monetary policy’ or the ‘monetary theory of distribution’, our results should be regarded as a normal phenomenon rather than an ‘anomaly’ or a ‘specific regime phenomenon’ connected to the passive behaviour of the Central Bank in response to changes in the inflation rate. Our findings are robust to several model specifications such as the inclusion of price and inflation expectations and the consideration of different time spans related to various monetary policy regimes.