Applying the Hirose-Kamada filter to Swiss data: Output gap and exchange rate pass-through estimates

Franziska Bignasca () and Enzo Rossi ()
Additional contact information
Franziska Bignasca: Swiss National Bank, Postal: UBS, CCRC Country Risk Analysis, CH-8000 Zurich, http://www.ubs.com
Enzo Rossi: Swiss National Bank, Postal: Boersenstrasse 15, P.O. Box, CH-8022 Zurich, http://www.snb.ch

No 2007-10, Working Papers from Swiss National Bank

Abstract: Multivariate filters based on the Hodrick-Prescott filter are appealing because they combine the advantages of the Hodrick-Prescott filter with economic relationships. Recently, a new multivariate filter has been put forward by Hirose and Kamada (2003). In this article we apply this new filter to Swiss data spanning the period from 1981 to 2005. We estimate both potential output and the associated output gap with quarterly data. Moreover, a model-consistent Phillips curve for an open economy is derived from simple economic relationships. Based on the estimated Phillips curve, we investigate exchange-rate pass through effects on consumer prices. We find only a weak transmission of exchange rate fluctuations into consumer prices.

Keywords: potential output; output gap; multivariate filter; Hirose and Kamada filter; exchange-rate pass through (search for similar items in EconPapers)
JEL-codes: E31 E32 F41 (search for similar items in EconPapers)
Date: 2007-04-30

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