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 - 3 sur 3
- 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 libreIs there a Swiss price puzzle?(2012-12-27)
; Lein, SarahThis paper estimates the response of consumer prices to a monetary policy shock in Switzerland. We find that there is no evidence of a price puzzle at the aggregate level. This is because our factor-augmented vector autoregression (FAVAR) avoids misspecification by including more information than a traditional VAR. However, the response is still delayed by at least four quarters, partly because there is a price puzzle in some sectors. In particular, rents tend to rise after a monetary policy tightening because there are legal provisions in Switzerland which link them to interest rates. But durable goods prices also rise, which is consistent with the existence of a cost channel of monetary policy. - PublicationAccès libreAsymmetries in Price-Setting Behavior: New Microeconometric Evidence from Switzerland(2012-12-18)
;