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Kaufmann, Daniel
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Kaufmann, Daniel
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Site web
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Professeur ordinaire
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daniel.kaufmann@unine.ch
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Voici les éléments 1 - 5 sur 5
- 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 libreThree essays in macroeconomics with applications in textual analysisL'analyse textuelle en économie consiste à examiner des données textuelles non structurées afin d'en extraire des informations sur les variables économiques. Cette approche se distingue de la lecture traditionnelle par sa capacité à traiter des volumes importants de texte et à générer des résultats reproductibles, révélant souvent des modèles que les lecteurs humains pourraient manquer. Avec l'essor des données numériques et des « large language models », l'analyse textuelle est devenue pertinente en économie, où elle aide à mesurer des variables difficiles à quantifier, à suivre les cycles économiques et à identifier des relations causales.
Cette thèse contribue à cette littérature en pleine expansion avec trois essais qui utilisent l'analyse textuelle pour répondre à des questions de macroéconomie.
Le premier chapitre développe un indicateur quotidien des cycles économiques pour la Suisse. En utilisant des données des marchés financiers et des articles de journaux, une « courbe de fièvre » est créée, offrant des prévisions plus précises de l'activité économique que les indicateurs existants.
Le deuxième chapitre se concentre sur le démêlage des effets des différents chocs de politique monétaire américaine sur le taux de change, en s'appuyant sur une nouvelle méthodologie qui identifie les chocs à partir des changements dans la matrice de variance-covariance des variables financières.
Le troisième chapitre construit un indicateur historique des cycles économiques pour la Suisse de 1821 à aujourd'hui. En utilisant des données textuelles telles que des archives d'entreprises et des journaux, une chronologie des fluctuations économiques est proposée, en phase avec les événements bien connus.
ABSTRACT:
Textual analysis in economics involves examining unstructured text data to extract meaningful insights about economic variables. This approach differs from traditional reading in its ability to handle extensive amounts of text and to generate reproducible results, often uncovering patterns that human readers might miss. With the rise of digital data and large language models, textual analysis has become increasingly relevant in economics, where it helps measure hard-to-quantify variables, track business cycles, and identify causal relationships.
This dissertation contributes to this growing literature with three essays that utilize textual analysis to address questions in macroeconomics.
The first chapter develops a daily business cycle indicator for Switzerland. Using financial market and news data, a timely “fever curve” is created, offering more accurate nowcasts of economic activity than existing indicators.
The second chapter focuses on disentangling the effects of different U.S. monetary policy shocks on the exchange rate based on a new methodology that identifies shocks based on changes in the variance-covariance matrix of financial variables.
The third chapter constructs a historical business cycle indicator for Switzerland from 1821 to the present. Using textual data from company records and newspapers, a chronology of Swiss economic fluctuations is provided, aligning with well-known events and offering new insights into historical business cycles. - 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 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 libreA daily fever curve for the Swiss economy(Neuchâtel Université de Neuchâtel Institut de recherches économiques, 2020)
; 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 one 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.