Central bank research hub - Papers by Daniel Kaufmann
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Research hub papers by author Daniel KaufmannenChanging dynamics at the zero lower bound
http://www.snb.ch/n/mmr/reference/working_paper_2016_16/source/working_paper_2016_16.n.pdf
Swiss National Bank Working Papers by Gregor Bäurle, Daniel Kaufmann, Sylvia Kaufmann and Rodney W. StrachanChanging dynamics at the zero lower bound2016-11-30T12:37:00ZThe interaction of macroeconomic variables may change as the nominal short-term interest rates approach zero. In this paper, we propose an empirical model that captures these changing dynamics with a time-varying parameter vector autoregressive process. State-dependent parameters are determined by a latent state indicator. This state indicator follows a distribution with time-varying probabilities affected by the lagged interest rate. As the interest rate enters the critical zero lower bound (ZLB) region, the dynamics between the variables and the effect of shocks change. We estimate the model with Bayesian methods and explicitly consider that the interest rate may be constrained in the ZLB region. We provide an estimate of the latent rate, i.e., a lower interest rate than the observed level, which is state- and model-consistent. The endogenous specification of the state indicator permits dynamic forecasts of the state and system variables. In the application of the model to the Swiss data, we evaluate state-dependent impulse responses to a risk premium shock that is identified with sign restrictions. Additionally, we discuss scenario-based forecasts and evaluate the probability of the system exiting the ZLB region that is only based on the inherent dynamics.Changing dynamics at the zero lower boundAbstracthttp://www.snb.ch/en/mmr/papers/id/working_paper_2016_16Full texthttp://www.snb.ch/n/mmr/reference/working_paper_2016_16/source/working_paper_2016_16.n.pdfRodney W. StrachanGregor BäurleSylvia KaufmannDaniel KaufmannGregor Bäurle, Daniel Kaufmann, Sylvia Kaufmann and Rodney W. Strachan2016-11-30Swiss National Bank SNB Working PapersC3E3Exchange rate and price dynamics in a small open economy - the role of the zero lower bound and monetary policy regimes
http://www.snb.ch/n/mmr/reference/working_paper_2014_10/source/working_paper_2014_10.n.pdf
Swiss National Bank Working Papers by Gregor Bäurle and Daniel KaufmannExchange rate and price dynamics in a small open economy - the role of the zero lower bound and monetary policy regimes2014-12-12T17:32:00ZWe analyse nominal exchange rate and price dynamics after risk premium shocks with short-term interest rates constrained by the zero lower bound (ZLB). In a small-open-economy DSGE model, temporary risk premium shocks lead to shifts of the exchange rate and the price level if a central bank implements an inflation target by means of a traditional Taylor rule. These shifts are strongly amplified and become more persistent once the ZLB is included in the model. We also provide empirical support for this finding. Using a Bayesian VAR for Switzerland, we find that responses of the exchange rate and the price level to a temporary risk premium shock are larger and more persistent when the ZLB is binding. Our theoretical discussion shows that alternative monetary policy rules that stabilise price-level expectations are able to dampen exchange rate and price fluctuations when the ZLB is binding. This stabilisation can be achieved by including either the price level or, alternatively, the nominal exchange rate in the policy rule.Exchange rate and price dynamics in a small open economy - the role of the zero lower bound and monetary policy regimesFull texthttp://www.snb.ch/n/mmr/reference/working_paper_2014_10/source/working_paper_2014_10.n.pdfGregor BäurleDaniel KaufmannGregor Bäurle and Daniel Kaufmann2014-12-12Swiss National Bank SNB Working PapersC11C32E31E37E52E58F31Asymmetries in Price-Setting Behavoir: New Microeconometric from Switzerland
http://www.snb.ch/n/mmr/reference/working_paper_2012_09/source/working_paper_2012_09.n.pdf
Swiss National Bank Working Papers by Bo E. Honoré, Daniel Kaufmann and Sarah Marit LeinAsymmetries in Price-Setting Behavoir: New Microeconometric from Switzerland2012-10-22T17:36:59ZIn this paper we follow the recent empirical literature that has specified reduced-form models for price setting that are closely tied to (S, s)-pricing rules. Our contribution to the literature is twofold. First, we propose an estimator that relaxes distributional assumptions on the unobserved heterogeneity. Second, we use the estimator to examine asymmetries in price-setting behavior. Using micro price data underlying the Swiss CPI we find that a substantial share of asymmetries in the frequency of price changes can be traced back to a rising aggregate price level. We show that asymmetries would be reduced substantially in the absence of aggregate inflation.Asymmetries in Price-Setting Behavoir: New Microeconometric from SwitzerlandFull texthttp://www.snb.ch/n/mmr/reference/working_paper_2012_09/source/working_paper_2012_09.n.pdfDaniel KaufmannBo E. HonoréSarah Marit LeinBo E. Honoré, Daniel Kaufmann and Sarah Marit Lein2012-10-22Swiss National Bank SNB Working PapersSectoral Inflation Dynamics, Idiosyncratic Shocks and Monetary Policy
http://www.snb.ch/n/mmr/reference/working_paper_2011_07/source/working_paper_2011_07.n.pdf
Swiss National Bank Working Papers by Daniel Kaufmann and Sarah LeinSectoral Inflation Dynamics, Idiosyncratic Shocks and Monetary Policy2011-05-26T17:38:00ZSectoral Inflation Dynamics, Idiosyncratic Shocks and Monetary PolicyFull texthttp://www.snb.ch/n/mmr/reference/working_paper_2011_07/source/working_paper_2011_07.n.pdfDaniel KaufmannSarah LeinDaniel Kaufmann and Sarah Lein2011-06-26Swiss National Bank SNB Working PapersThe Timing of Price Changes and the Role of Heterogeneity
http://www.snb.ch/n/mmr/reference/working_paper_2010_02/source/working_paper_2010_02.n.pdf
Swiss National Bank Working Papers by Daniel KaufmannThe Timing of Price Changes and the Role of Heterogeneity2010-02-26T12:43:00ZThe Timing of Price Changes and the Role of HeterogeneityFull texthttp://www.snb.ch/n/mmr/reference/working_paper_2010_02/source/working_paper_2010_02.n.pdfDaniel KaufmannDaniel Kaufmann2010-02-26Swiss National Bank SNB Working PapersPrice-Setting Behaviour in Switzerland - Evidence from CPI Micro Data
http://www.snb.ch/n/mmr/reference/working_paper_2008_15/source/working_paper_2008_15.n.pdf
Swiss National Bank Working Papers by Daniel KaufmannPrice-Setting Behaviour in Switzerland - Evidence from CPI Micro Data2008-09-01T12:00:00ZPrice-Setting Behaviour in Switzerland - Evidence from CPI Micro DataFull texthttp://www.snb.ch/n/mmr/reference/working_paper_2008_15/source/working_paper_2008_15.n.pdfDaniel KaufmannDaniel Kaufmann2008-08-28Swiss National Bank SNB Working Papers