Options
Kaufmann, Daniel
Nom
Kaufmann, Daniel
Affiliation principale
Site web
Fonction
Professeur ordinaire
Email
daniel.kaufmann@unine.ch
Identifiants
Résultat de la recherche
Voici les éléments 1 - 10 sur 36
- PublicationAccès libreDo Bonuses Offset the Allocative Effects of Downward Rigid Base Wages?(2022)
- PublicationAccès libreOvernight rate and signalling effects of central bank bills(2022)
- PublicationAccès libreDo Sticky Wages Matter? New Evidence from Matched Firm Survey and Register Data(2022)
- PublicationAccès libreA daily fever curve for the Swiss economy(2020-7-9)
; Because macroeconomic data is published with a substantial delay, assessing the health of the economy during the rapidly evolving COVID-19 crisis is challenging. We develop a fever curve for the Swiss economy using publicly available daily financial market and news data. The indicator can be computed with a delay of 1 day. Moreover, it is highly correlated with macroeconomic data and survey indicators of Swiss economic activity. Therefore, it provides timely and reliable warning signals if the health of the economy takes a turn for the worse. - PublicationAccès libreWas kann die SNB noch tun?(2020-5-17)
; - PublicationAccès libreWie weiter mit der Tiefzinspolitik? Szenarien und AlternativenDiese Studie zeigt wie sich ein vorzeitiger Ausstieg aus der Tiefzinspolitik auf den Wechselkurs und die schweizerische Wirtschaft auswirken würde. Ein überraschender Ausstieg aus der Tiefzinspolitik würde den Schweizer Franken um 3-7% aufwerten. Zudem würde dies zu einem Rückgang der Wirtschaftsaktivität und der Konsumentenpreise führen. Es gibt jedoch alternative geldpolitische Strategien, die den Franken schwächen und die Nominalzinsen erhöhen. Dies würde eine höhere Inflationsrate erfordern. Cette étude démontre les effets d'une sortie prématurée de la politique de taux d'intérêt bas sur le taux de change et l'économie suisse. Si la BNS venait à inopinement abandonner la politique de taux d'intérêt bas, le franc suisse s'apprecierait de 3 à 7%. En plus, l'activité économique et les prix à la consommation baisseraient. Cependant, il existe des stratégies alternatives de politique monétaire qui déprécient le franc suisse et augmentent les taux d'intérêt nominaux. Cela nécessiterait une augmentation de l'inflation. This study shows the effect of a premature exit from the low interest rate policy on the exchange rate and the Swiss economy. A premature exit from the low interest rate policy would appreciate the Swiss franc by 3-7%. In addition, economic activity and consumer prices would decline. However, there are alternative monetary policy strategies that depreciate the Swiss franc and raise nominal interest rates. This would require a higher inflation rate.
- PublicationAccès libreIs Deflation Costly After All? The Perils of Erroneous Historical Classifications(2020-4-14)I estimate average economic activity during periods of inflation and deflation while accounting for measurement errors in 19th century prices. These measurement errors lead to underestimation (overestimation) of economic activity during periods of inflation (deflation). By exploiting multiple deflation indicators, it is possible to recover the true relationship; the shortfall of U.S. industrial production growth during periods of deflation ranges from ‐4.5 pp to ‐7.6 pp, instead of ‐2 pp. I also find a negative relationship between deflation and real activity in the U.K. I then examine the cross‐country variation in the estimates for eleven countries. The patterns are consistent with stronger biases for countries with more serious measurement errors in prices.
- 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 libreTrend fundamentals and exchange rate dynamics(2020-1-19)
; Huber, FlorianWe estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six exchange rates against the US dollar. The empirical model is based on the assumption that two countries’ monetary policy strategies may be well described by Taylor rules with a time-varying inflation target, a time-varying natural rate of unemployment, and interest rate smoothing. Compared to the existing literature, our model simultaneously provides estimates of the latent components included in a typical Taylor rule specification and the model-based real exchange rate. Our estimates closely track major movements along with important time series properties of real and nominal exchange rates across all currencies considered, outperforming a benchmark model that does not account for changes in trend inflation and trend unemployment. More precisely, the proposed approach improves on competing models in tracking the actual evolution of the real exchange rate in terms of simple correlations while it appreciably improves on simpler competitors in terms of matching the persistence of the real exchange rate.