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Current professional positions

Since Aug 2017, Assistant Professor in Applied Macroeconomics, University of Neuchâtel

Since Aug 2017, Research Fellow, KOF Swiss Economic Institute, ETH Zurich

Feb 2022 to Jul 2022, Lecturer, part-time, Graduate Institute for International and Development Studies, Geneva

 
Peer-reviewed publication

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, 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

Is deflation costly after all? The perils of erroneous historical classificationsJournal of Applied Econometrics, 35(5), 614-628, doi:10.1002/jae.2762, 2020

Trend fundamentals and exchange rate dynamics, Economicadoi: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

  • [update 2019, working paper]

Constrained interest rates and changing dynamics at the zero lower bound, Studies in Nonlinear Dynamics & Econometricsdoi: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

  • [publicationworking paper]

Nominal stability over two centuriesSwiss 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.

  • [publication, update 2018, working paper, codes]

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

Business tendency surveys and macroeconomic fluctuationsInternational 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

  • [publicationupdate sep. 2016working paper]

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

  • [publication]

Combining disaggregate forecasts for inflation: The SNB's ARIMA modelSwiss 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

  • [publication]

Asymmetries in price-setting behavior: New microeconometric evidence from SwitzerlandJournal 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

  • [publication, working paper]

  • 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

  • [publication]

Price-setting behaviour in Switzerland: Evidence from CPI micro dataSwiss 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. 

  • [publication, working paper]

  • in the news: [Finanz&Wirtschaft]


Selected other publications

Do bonuses offset the allocative effects of downward rigid base wages?, 2022, American Economic Review Papers & Proceedings, forthcoming

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 Alternativen2020, IRENE Policy Reports 20-01, Institute of Economic Research, University of Neuchâtel

 
Work in progress

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

Domestic and international financial integration in Switzerland, 1846-1893 , 2022

  • with Rebecca Stuart

  • We examine convergence of and pass-through of international shocks to regional discount rate in Switzerland before and after the introduction of the Swiss franc

A Swiss business cycle history 1848-2020, 2022

  • with Marc Burri and Rebecca Stuart

  • We use natural language processing to measure business cycle fluctuations since the foundation of the modern Swiss confederation

Price and delayed overshooting puzzles – A new perspective from identification through heteroscedasticity, 2022

  • with Marc Burri

  • We use agnostic identification schemes to shed light on the causes and robustness anomalies in the price and exchange rate response to a monetary policy surprise

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

  • [paper and codes]

Export prices, markups, and currency choice after a large appreciation, 2019


Selected awards, grants, mandates and other financial support

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 TilleFlorian HuberRebecca 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

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)

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 onlineÖkonomenstimmeKOF Bulletin)