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Kaufmann, Daniel
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Kaufmann, Daniel
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daniel.kaufmann@unine.ch
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Voici les éléments 1 - 10 sur 39
- PublicationAccès librePrivate money and money market integration: the role of payments infrastructure in 19th century SwitzerlandUsing newly collected discount rate data for six Swiss cities, we find no evidence of increasing integration during a 30-year period of lightly regulated free banking. We attribute this to two structural issues: banks had incentives to protect their local monopolies, and the inherent instability of free banking meant that there was always a risk (which varied across banks) of a bank run. We use a novel counterfactual to show that these risks increased discount rate dispersion, and argue that as a result, public regulation of payments infrastructure was necessary for money market integration.
- PublicationAccès libreMulti-dimensional monetary policy shocks based on heteroscedasticityWe propose a two-step approach to estimate multi-dimensional monetary policy shocks and their causal effects requiring only daily financial market data and policy events. First, we combine a heteroscedasticity-based identification scheme with recursive zero restrictions along the term structure of interest rates to disentangle multi-dimensional monetary policy shocks and derive an instrumental variables estimator to estimate dynamic causal effects. Second, we propose to use the Kalman filter to compute the linear minimum mean-square-error prediction of the unobserved monetary policy shocks. We apply the approach to examine the causal effects of US monetary policy on the exchange rate. The heteroscedasticity-based monetary policy shocks display a relevant correlation with existing high-frequency surprises. In addition, their dynamic causal effects on the exchange rate are similar. This suggests the approach is a valid alternative if high-frequency identification schemes are not applicable.
- PublicationAccès libreAI in economic research: A guide for students and instructorsThis report documents the use and misuse of generative artificial intelligence in academic economic research and provides guidelines for university students and instructors. It primarily addresses students and instructors in a master’s program in economics; however, the use cases and guidelines may be useful in other fields and academic research in general.
- PublicationAccès libreDo Sticky Wages Matter? New Evidence from Matched Firm Survey and Register Data(2022)
- PublicationAccès libreOvernight rate and signalling effects of central bank bills(2022)
- PublicationAccès libreDo Bonuses Offset the Allocative Effects of Downward Rigid Base Wages?(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.