Sequential Information Flow and Real-Time Diagnosis of Swiss Inflation: Intra-Monthly DCF Estimates for a Low-Inflation Environ

Andreas Fischer () and Marlene Amstad

No 4627, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: The timely release of macroeconomic data imposes a distinct structure on the panel: the clustering and sequential ordering of real and nominal variables. We call this orderly release of economic data sequential information flow. The ordered panel generates a new class of restrictions that are helpful in interpreting the real-time estimates of monthly core inflation through the identification of turning points and structural shocks. After establishing the sought-after properties (of smoothness, stability, and forecasting) for core inflation, we turn to the discussion of real-time diagnosis for a low inflation environment. This is done in the context of weekly estimates of Swiss inflation. The intra-monthly estimates for core inflation find that it is worthwhile to update this measure at least twice a month.

Keywords: Common factors; inflation; Sequential information flow (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
Date: 2004-09
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (13)

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