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Kaufmann, Daniel
Nom
Kaufmann, Daniel
Affiliation principale
Site web
Fonction
Assistant Professor
Email
daniel.kaufmann@unine.ch
Identifiant ORCID
Résultat de la recherche
Voici les éléments 1 - 10 sur 33
- PublicationAccès libreSticky prices or rational inattention – What can we learn from sectoral price data?(2013-11-1)
; Lein, SarahThis paper derives stylised facts on sectoral inflation dynamics and confronts these facts with two popular theoretical models of price setting. Based on sectoral price responses to macroeconomic shocks estimated from an approximate factor model, we find that the frequency of price changes explains a relevant share of the cross-sectional variation of the speed and size of responses. Moreover, there is little evidence that the volatility of sectoral inflation due to idiosyncratic shocks dampens the size and speed of the responses to macroeconomic shocks. These findings support a multi-sector model with sticky prices rather than a rational-inattention model. We derive the results from different modelling and sampling decisions proposed in the literature, and we find that the explanatory power of the frequency of price changes for the speed of response to a macroeconomic shock proves robust in the face of these decisions. Other results are sensitive with respect to the choice of the factor model and the treatment of outliers. - PublicationAccès libreMeasuring Exchange Rate, Price, and Output Dynamics at the Effective Lower Bound(2018-10-4)
; Bäurle, GregorNew Keynesian models with sticky prices make stark predictions about how the economy responds to shocks under different monetary policy regimes when short-term interest rates are constrained by an effective lower bound. We use the Swiss case as a laboratory to find evidence in favour of these predictions. We propose a Bayesian VAR to estimate impulse responses to risk shocks for short periods with a binding effective lower bound and with a publicly announced minimum exchange rate. In line with predictions from theory, we find that with a binding effective lower bound, the responses of the exchange rate, prices, and output become more persistent. However, the minimum exchange rate attenuates this adverse impact. - PublicationAccès libreDo sticky wages matter? New evidence from matched firm-survey and register data(Neuchâtel Université de Neuchâtel Institut de Recherches Economiques, 2020)
;Funk, Anne KathrinThis paper provides novel evidence on downward nominal wage rigidities and their allocative effects in Switzerland. We match individual wages from a bi-annual firm survey with information on annual income and employment from social security register data. We relevant downward nominal wage rigidities in the base wage, which accounts for more than 90% of employment income. We then identify the allocative effects of downward nominal wage rigidities on income and employment after an unexpected 1% decline of the consumer price level. Base wage rigidities cause a decline of aggregate income (-0.39%) and employment income (-0.97%), as well as an increase of unemployment (2.11%). - PublicationAccès libreCombining disaggregate forecasts for inflation: The SNB's ARIMA model(2013-7-1)
; Huwiler, MarcoThis study documents the SNB's ARIMA model based on disaggregated CPI data used to produce inflation forecasts over the short-term horizon, and evaluates its forecasting performance. Our findings suggest that the disaggregate ARIMA model for the Swiss CPI performed better than relevant benchmarks. In particular, estimating ARIMA models for individual CPI expenditure items and aggregating the forecasts from these models gives better results than directly applying the ARIMA methodto the total CPI. We then extend the model to factor in changes in the collection frequency of the Swiss CPI data and show that this extension further improves the forecasting performance. - PublicationAccès libreOser d'avantage d'inflation(2020-4-11)En comparaison internationale, les taux d’intérêt en Suisse sont très bas. Cette situation s’explique par des facteurs internationaux, mais également par une inflation particulièrement faible. Ces taux bas posent des défis particuliers aux investisseurs, aux épargnants et surtout à la Banque nationale. Les possibilités de plus en plus limitées de réduire les taux d’intérêt qui s’offrent à cette dernière l’obligent à recourir à des mesures de politique monétaire non conventionnelles, qui gonflent son bilan. Viser temporairement un taux d’inflation proche de 2 % constituerait une issue envisageable.
- PublicationAccès libre
- PublicationAccès librePreisstabilität in der Schweiz seit dem 19. Jahrhundert(2015-4-14)Wie hat sich die Preisstabilität in der Schweiz seit dem 19. Jahrhundert entwickelt und wie verhalten sich die Löhne während lange andauernder Deflationsphasen? Wie dieser Beitrag zeigt, wiesen die Papiergeldstandards nach dem Zweiten Weltkrieg ein grösseres Mass an Preisstabilität auf als die Metallwährungsstandards vor dem Ersten Weltkrieg. Zudem zeigt sich, dass selbst während lange andauernder Deflationsphasen die Nominallöhne im Vergleich zu den Konsumentenpreisen kaum rückläufig waren.
- PublicationAccès libreManufacturing prices and employment after the Swiss franc shockWhat is the impact of a permanent nominal appreciation on manufacturing prices and employment? To answer this question this study exploits the unexpected 10% appreciation in the aftermath of the removal of the Swiss National Bank’s exchange rate floor in January 2015. Prices of products sold by domestic firms, as well as, export prices set in domestic currency, declined only slightly. By contrast, export prices denominated in euro and prices of imported products changed more quickly and more strongly (measured in Swiss francs). We show that sticky prices in the corresponding currency of pricing are one reason for this pattern, supporting modeling assumptions in the New Keynesian tradition. These missing price adjustments therefore can be responsible why nominal exchange rate fluctuations affect the real economy. In line with this idea, we find that manufacturing employment has declined significantly after the appreciation. Relative to a control group of similar Austrian firms, employment in an average Swiss manufacturing firm declined by 4% two years after the appreciation. The gradual decline can be traced back to an immediate reduction in the number of vacancies and was likely driven by natural turnover. We find little evidence that the appreciation reduced employment mainly in low-productivity firms or sectors.