Downloads
Professional positions
Since Aug 2023, Professor of Applied Macroeconomics, University of Neuchâtel
Since Jan 2023, Co-editor, Swiss Journal of Economics and Statistics
Since Aug 2017, Research Fellow, KOF Swiss Economic Institute, ETH Zurich
Peer-reviewed publications
Overnight rate and signalling effects of central bank bills, 2022, European Economic Review, 143, doi: 10.1016/j.euroecorev.2022.104060
-
We identify the causal effect of surprise changes in an interest rate floor exploiting regular auctions of SNB Bills (Swiss central bank debt securities). We find that a restrictive interest rate floor shock causes a higher money market rate, an appreciation of the Swiss franc, and a decline in stock prices.
-
with Fabio Canetg
-
A previous version was titled 'Shocking interest rate floors'
-
[publication open access, online appendix, replication files, working paper]
-
In the news: [Finanz und Wirtschaft]
Do sticky wages matter? New evidence from matched firm-survey and register data, 2022, Economica, 89(355), 689-712, doi: 10.1111/ecca.12412
with Anne Kathrin Funk
-
We examine the role of wage rigidities after the Swiss National Bank removed an exchange rate floor leading to a 1% decline in the price level. We find that sticky wages caused a 0.3% decline in income, 0.9% decline in employment income, and a 0.05 percentage point increase in the unemployment rate.
- [publication open access, online appendix, working paper]
-
In the news: [Tages Anzeiger]
A daily fever curve for the Swiss economy, Swiss Journal of Economics and Statistics, 156(6), doi:10.1186/s41937-020-00051-z, 2020
-
with Marc Burri
-
[publication, online appendix, working paper, codes and data]
-
In the news [Republik, Finanz und Wirtschaft, Solothurner Zeitung, Canal Alpha, Arcinfo]
Is deflation costly after all? The perils of erroneous historical classifications, Journal of Applied Econometrics, 35(5), 614-628, doi:10.1002/jae.2762, 2020
-
I propose a GMM estimator to estimate the relationship between deflation and real activity in the US controlling for measurement error in 19th century price data. I find a relevant short-fall in real activity when prices were falling.
-
[publication, update 2019, codes and appendix, behl working paper, kof working paper]
Trend fundamentals and exchange rate dynamics, Economica, doi:10.1111/ecca.12334, 2020
-
We propose a multivariate unobserved-components stochastic volatility model to explain exchange rate dynamics. We find that changes in trend inflation is a relevant factor explaining the persistence of exchange rate fluctuations.
-
with Florian Huber
Constrained interest rates and changing dynamics at the zero lower bound, Studies in Nonlinear Dynamics & Econometrics, doi:10.1515/snde-2017-0098, 24(2), 2019
-
Best paper award SNDE 2020
-
We propose a VAR with endogenous regime-switching to measure the impact of risk premium shocks with binding and non-binding effective lower bound in Switzerland. The effective lower bound leads to more persistent declines in the price level and a more persistent appreciation.
-
with Gregor Bäurle, Sylvia Kaufmann and Rodney Strachan
Nominal stability over two centuries, Swiss Journal of Economics and Statistics, 155(7), 1-23, doi:10.1186/s41937-019-0033-7, 2019
-
I estimate nominal trends for Switzerland from 1800-2017 using an unobserved-components stochastic-volatility model. Today's monetary regime, flexible inflation targeting, is the most stable monetary regime.
Measuring exchange rate, price, and output dynamics at the effective lower bound, Oxford Bulletin of Economics and Statistics, vol. 80(6), 1243-1266,doi:10.1111/obes.12260, 2018
-
We propose a VAR with exogenous regime-switching to measure the impact of risk premium shocks with binding and non-binding effective lower bound in Switzerland. The effective lower bound leads to more persistent declines in the price level and a more persistent appreciation.
-
with Gregor Bäurle
-
in the news: [Jackson Hole speech T. Jordan]
Business tendency surveys and macroeconomic fluctuations, International Journal of Forecasting, 33(4), 878-893, doi:10.1016/j.ijforecast.2017.04.005, 2017
-
We use a mixed-frequency factor model to examine the forecasting performance of Swiss business tendency survey data. Business tendency surveys provide additional information for forecasting inflation, employment growth, and the output gap.
-
with Rolf Scheufele
Sticky prices or rational inattention — What can we learn from sectoral price data?, European Economic Review, 64, 384-394, doi:10.1016/j.euroecorev.2013.10.001, 2013
-
We use a factor model to document stylized facts for Swiss sectoral dynamics and confront these facts with two popular price-setting models. Overall, the findings tend to support multi-sector models with sticky prices rather than rational inattention.
-
with Sarah Lein
Combining disaggregate forecasts for inflation: The SNB's ARIMA model, Swiss National Bank Economic Study, No. 7, url:www.snb.ch/en/mmr/studies/id/economic_studies_2013_07, 2013
-
We evaluate the SNB's short-term forecasting model based on sectoral inflation rates and propose a state-space model to deal with changes in the survey frequency over time. The model performs well relative to various benchmarks, in particular, over short-term horizons.
-
with Marco Huwiler
Asymmetries in price-setting behavior: New microeconometric evidence from Switzerland, Journal of Money Credit and Banking, 44, 211-236, doi:10.1111/j.1538-4616.2012.00558.x, 2012
-
We propose an econometric framework to estimate reduced-form (S,s)-pricing rules from firm-level price data. Applying the estimator to Swiss data, we find that the prevalence of positive relative to negative price changes is largely due to a positive aggregate inflation trend.
-
with Bo E. Honoré and Sarah Lein
-
in the news: [Jackson Hole speech T. Jordan]
Is there a Swiss price puzzle?, Swiss Journal of Economics and Statistics, 148(I), 57-75, doi:10.1007/bf03399360, 2012
-
We use a factor model and Swiss sectoral price data to examine whether there is a price puzzle, i.e. an increase in the price level after a restrictive monetary policy shock. Although there is no price puzzle on average, rents and durable goods prices tend to rise. This is consistent with the cost channel of monetary policy.
-
with Sarah Lein
Price-setting behaviour in Switzerland: Evidence from CPI micro data, Swiss Journal of Economics and Statistics, 145(III), 293-349, doi:10.1007/bf03399283, 2009
-
I document stylized facts of Swiss firm's price-setting behavior based on a novel micro price data set. Prices tend to be sticky, but price changes are sizable when they occur. Sticky prices, however, depend on the state of the economy, in particular, firms facing higher rates of inflation adjust their prices more frequently.
-
in the news: [Finanz&Wirtschaft]
Selected other publications
AI in economic research: A guide for students and instructors, 2024, IRENE Policy Reports 24-03, Institute of Economic Research, University of Neuchâtel
Study to evaluate the future data compilation for the Swiss Consumer Sentiment Index, 2024, Grundlagen für die Wirtschaftspolitik, 43, Staatssekretariat für Wirtschaft SECO
Do bonuses offset the allocative effects of downward rigid base wages?, 2022, American Economic Review Papers & Proceedings, 112, 486-490, doi:10.1257/pandp.20221097
with Anne Kathrin Funk
-
We examine whether downward flexible wage components, such as bonuses, are used as a margin of adjustment to circumvent base wage rigidities. Those components indeed mitigate the allocative effects of downward nominal wage rigidity. At least in Switzerland, they do not suffice to completely offset the allocative effects of downward rigid base wages.
Some implications of the new agreement on the distribution of SNB profits, 2021, IRENE Policy Reports 21-01, Institute of Economic Research, University of Neuchâtel
Wie weiter mit der Tiefzinspolitik? Szenarien und Alternativen, 2020, IRENE Policy Reports 20-01, Institute of Economic Research, University of Neuchâtel
Work in progress
Private money and money market integration: The role of payments infrastructure in 19th century Switzerland, 1846-1893, 2024, IRENE Working Papers No. 24-05, Institute of Economic Research, University of Neuchâtel
-
with Rebecca Stuart
-
We show that discount rate dispersion, a measure of financial market segmentation, was relatively high under a period of unregulated free banking. Only with the Banknote Act of 1881 did discount rate dispersion fall to similar levels as in other countries. Therefore, we argue that bank regulation was a key factor driving money market integration in Switzerland.
Multi-dimensional monetary policy shocks based on heteroscedasticity, 2024, IRENE Working Papers No. 24-03, Institute of Economic Research, University of Neuchâtel
-
with Marc Burri
-
We changes in the variance-covariance matrix of financial market variables, and zero restrictions along hte term structure, to identify the causal effects of multi-dimensional monetary policy shocks
Regional inflation dynamics before and after the introduction of the Swiss franc, 1835-1864, in progress
-
with Jannis Stefanopulos
-
We use novel price data to investigate whether inflation dynamics changed after the introduction of a common currency
Swiss economic sentiments for the 19th, 20th and 21st centuries, in progress
-
with Marc Burri
-
We use natural language processing to measure business cycle fluctuations since the foundation of the modern Swiss confederation
What drives long-term interest rates? Evidence from the entire Swiss franc history 1852-2020, 2022, IRENE Working Papers No. 22-03, Institute of Economic Research, University of Neuchâtel
-
with Cédric Tille, Rebecca Stuart and Niko Hauzenberger
-
We construct novel monthly interest rate and exchange rate data for Switzerland and analyse the most important driving forces.
Does government-backed lending reduce unemployment? An assessment of the Swiss COVID-19 credit program, IRENE Working Papers No. 20-10, Institute of Economic Research, University of Neuchâtel, 2020
-
The paper provides causal estimates of the impact of fiscal aid on unemployment identified from regional variation in exposure to the Swiss COVID-19 credit program
Export prices, markups, and currency choice after a large appreciation, 2019
-
We use a data set of Swiss firm-level export, import, and domestic prices to show how price and markup adjustment after a large appreciation depend on firm's currency choice.
-
with Tobias Renkin
-
[working paper, policy report, die volkswirtschaft (in German)]
-
In the news: [NZZ, Tagesanzeiger, Le Temps, RTN, Reuters]
Selected awards, grants, mandates and other financial support
Expert for the project Machbarkeitsstudie zur Auswertung der Preisauswirkungen des Industriezollabbaus, State Secretariat for Economic Affairs (SECO), project led by BSS Volkswirtschaftliche Beratung
Grant for the project Erhebung der Schweizer Konsumentenstimmung, by the State Secretariat of Economic Affairs (SECO), 2021, with Georg Lutz, Boris Wernli, Oliver Lipps, Michèle Ernst Stähli, Erika Antal (FORS, University of Lausanne), and Marc Burri
Best 2020 paper award in Studies in Nonlinear Dynamics and Econometrics for the paper: “Constrained interest rates and changing dynamics at the zero lower bound”, with Gregor Bäurle, Sylvia Kaufmann and Rodney Strachan
Grant for the project Interest rate and exchange rate fluctuations over two centuries, by the State Secretariat of Economic Affairs, 2020, with Cédric Tille, Florian Huber, Rebecca Stuart and Niko Hauzenberger
Mandate for the policy report Wie weiter mit der Tiefzinspolitik? Szenarien und Alternativen, by the Swiss Bankers Association, 2020
Grant for the project Combination of Expert Forecasts by the State Secretariat of Economic Affairs, 2017
Grant for the project Structural change of the Swiss economy in a difficult monetary environment by the State Secretariat of Economic Affairs, 2017, with Tobias Renkin
Selected opinion pieces and media appearances
SNB Chef Thomas Jordan tritt überraschend zurück, interview on SRF Echo der Zeit, 2024
Le franc fort impacte notre économie, interview on Canal Alpha, 2024
Die nächste Krise kommt mit Sicherheit, interview on the Credit Suisse crisis on Beobachter.ch, 2023
Le grand débat - Les cantons sont-ils trop dépendants de la BNS?, debate on RTS, 2023
Apéritif «Marché monétaire», panel discussion organized by the Swiss National Bank, 17 November 2022
Inflation: Gekommen um zu bleiben?, public discussion at Polit-Forum Bern, with Alexandra Janssen and Fabio Canetg, 2022
Is inflation out of control? (in German, in English, in French)
Die Devisenanlagen der SNB, Präsentation in der Fachkommission Wirtschaft und Finanzen, SP Schweiz, 2021 (in German)
Évolution des taux d’intérêt suisses : une perspective de 1852 à 2020 (in French, la vie économique)
Tracking the health of the Swiss economy during the Covid-19 crisis (with Marc Burri, LexTech Institute)
Was nun Herr Jordan? Statement on SNB's monetary and investment policy (in German, appearance in SRF Tagesschau and Eco)
Le Covid-19 souligne les limites de la politique monétaire de la BNS (Le Temps)
Les crédits Covid-19 au chevet des PME et de l’emploi (in French, La vie économique)
Schaden Deflation und rigide Löhne der Wirtschaft? Die Bedeutung von Lohnrigidität für die Geldpolitik (with Anne Kathrin Funk, in German, Ökonomenstimme)
Wie weiter mit der Tiefzinspolitik? Szenarien und Alternativen, information event for members of parliament, Commission de l’Économie et des Redevances (CER), 2020
Geldökonom Daniel Kaufmann im Swissinfo-Gespräch, Geldcast mit Fabio Canetg (Swissinfo)
Eine Fieberkurve für die Schweizer Wirtschaft (with Marc Burri, in German, Ökonomenstimme)
Negativzinsen: nutzen oder schaden sie?, public discussion at Polit-Forum Bern, with Daniel Lampart, Romina Ruprecht, Martin Schlegel, and Fabio Canetg, 2020
Ein neues Tool für die SNB (with Alex Rathke and Jan-Egbert Sturm, in German, Ökonomenstimme)
Was kann die SNB noch tun? (with Alex Rathke and Jan-Egbert Sturm, in German, Ökonomenstimme)
Oser d'avantage d'inflation (in French, La vie économique)
Negativzinsen: Sinn oder Unsinn? Eine Schweizer Perspektive (Die Presse)
Zukunftsmusik für die Nationalbank (with Fabio Canetg, in German, Finanz und Wirtschaft)
Eine Exit Strategie für die Nationalbank: SNB Bills (with Fabio Canetg, in German, Ökonomenstimme)
Le franc fort et le rôle de la politique monétaire (in French, CVCI Lausanne, Summary BCV)
Passt der geldpolitische Auftrag der SNB? (with Simon Schmid, in German, Republik)
Was kann Geldpolitik überhaupt ausrichten? (with Simon Schmid, in German, Republik)
Wie problematisch ist die Bilanz der SNB? (with Simon Schmid, in German, Republik)
Warum sind die Zinsen so tief? (with Simon Schmid, in German, Republik)
Entwerten Zentralbanken unser Geld? (with Simon Schmid, in German, Republik)
Systèmes monétaires et l’initiative « Monnaie Pleine » (in French, presentation)
La guerre commerciale mondiale aura-t-elle lieu? (in French, RTN)
Die Kosten von Deflation: Eine historische Analyse (in German, KOF Spezialanalyse)
What drives exchange rate persistence? The role of trend inflation (KOF Bulletin)
Preisstabilität in der Schweiz seit dem 19. Jahrhundert (in German, NZZ online, Ökonomenstimme, KOF Bulletin)