Shock Identification of Macroeconomic Forecasts based on Daily Panels

Marlene Amstad and Andreas Fischer ()

No 05.02, Working Papers from Swiss National Bank, Study Center Gerzensee

Abstract: This paper proposes a new procedure for shock identification of macroeconomic forecasts based on factor analysis. Our identification scheme for information shocks relies on data reduction techniques for daily panels and 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 information shocks. An empirical application is provided for Swiss inflation. We show that (i) the monetary policy shocks generate an asymmetric response to inflation, (ii) the pass-through for consumer price index inflation is weak, and (iii) that the information shocks to inflation are not synchronized.

Pages: 33 pages
Date: 2005-02
New Economics Papers: this item is included in nep-bec, nep-ecm and nep-mac
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Citations: View citations in EconPapers (3)

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Related works:
Working Paper: Shock Identification of Macroeconomic Forecasts Based on Daily Panels (2005)
Working Paper: Shock identification of macroeconomic forecasts based on daily panels (2005)
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