Daniel Kaufmann

Causal effects of multiple monetary policy dimensions: A heteroskedasticity IV approach, 2026, forthcoming Economics Letters

• with Marc Burri

• We identify the causal effects of target and path shocks using IVs exploiting the change in the variance-covariance matrix of financial market variables on days with monetary policy announcements

• [working paper]

 

Private money and money market integration: The role of payments infrastructure in 19th century Switzerland, 1846-1893, 2026, forthcoming Economic History Review

• 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.

• [working paper]​

 

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]

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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]

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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]

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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]

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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

• [update 2019, working paper]

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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

• [publication, working paper]

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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.

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

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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

• [publication, update 2018, online appendix, working paper]

• ​in the news: [Jackson Hole speech T. Jordan]

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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

• [publication, update sep. 2016, working paper]

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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]

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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

• [publication]

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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

• [publication, working paper]

• in the news: [Jackson Hole speech T. Jordan]

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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]

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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. 

• [publication, working paper]

• in the news: [Finanz&Wirtschaft]