Shock Identification of Macroeconomic Forecasts Based on Daily Panels

34 Pages Posted: 24 Aug 2005

See all articles by Marlene Amstad

Marlene Amstad

The Chinese University of Hong Kong, Shenzhen

Andreas M. Fischer

Swiss National Bank; Centre for Economic Policy Research (CEPR)

Multiple version iconThere are 2 versions of this paper

Date Written: April 2005

Abstract

A new procedure for shock identification of macroeconomic forecasts based on factor analysis is proposed. The identification scheme relies on daily panels and on the recognition that macroeconomic releases exhibit a high level of clustering. A large number of data releases on a single day is of considerable practical interest not only for the estimation but also for the identification of the factor model. The clustering of cross-sectional information facilitates the interpretation of the forecast innovations as real or as nominal shocks. An empirical application is provided for Swiss inflation. We show that the monetary policy shocks generate an asymmetric response to inflation, that the pass-through for CPI inflation is weak, and that the information shocks to inflation are not synchronized.

Keywords: Common factors, inflation forecasting, daily panels

JEL Classification: E52, E58

Suggested Citation

Amstad, Marlene and Fischer, Andreas M., Shock Identification of Macroeconomic Forecasts Based on Daily Panels (April 2005). CEPR Discussion Paper No. 5008. Available at SSRN: https://ssrn.com/abstract=772708

Marlene Amstad

The Chinese University of Hong Kong, Shenzhen ( email )

Andreas M. Fischer (Contact Author)

Swiss National Bank ( email )

Borsenstrasse 15
CH-8022 Zurich
Switzerland
+41 1 631 3294 (Phone)
+41 1 631 3901 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

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