["Oxford Bulletin of Economics and Statistics, EarlyView. ", "\nABSTRACT\nThe paper addresses the problem of “how to make a nonstationary inflation rate stationary by controlling the policy instrument”. It shows that a necessary condition is a significant non‐zero element in the long‐run impact matrix. An application to US data covering the Burns/Miller periods finds a significant, but positive, long‐run impact on inflation from a shock to the policy rate. Furthermore, the long‐term bond rate was not found to be cointegrated with the policy rate, the treasury bill rate, nor with the inflation rate. Thus, important links were missing and it would not have been able to bring US CPI inflation down in this period by raising the federal funds rate.\n"]