Daniel Kaufmann

Daniel Kaufmann
Université de Neuchâtel | UniNE · Institut de recherches économiques (IRENE)

PhD

About

31
Publications
1,840
Reads
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163
Citations
Citations since 2016
21 Research Items
91 Citations
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Introduction
I am an Assistant Professor of Applied Macroeconomics at the University of Neuchâtel and Research Fellow at the KOF Swiss Economic Institute, ETH Zurich. I also held part-time teaching positions at the Graduate Institute Geneva, the University of Bern and the Study Center Gerzensee. My research focuses on inflation and exchange rate dynamics, the causal effects of monetary policy and nominal frictions, as well as the role of different monetary regimes since the 19th century.
Additional affiliations
September 2017 - present
KOF Swiss Economic Institute
Position
  • Research Fellow
January 2016 - June 2016
University of California, Berkeley
Position
  • Visiting Scholar
Education
January 2007 - December 2008
Study Center Gerzensee
Field of study
  • Economics
December 2006 - March 2010
University of Bern
Field of study
  • Economics
September 2002 - November 2006
University of Bern
Field of study
  • Economics

Publications

Publications (31)
Article
We measure the labor market outcomes of employees with downward rigid base wages after an unexpected deflationary shock in Switzerland using a firm survey matched with Social Security register data. The employees that additionally receive downward flexible compensation, such as bonuses, are less likely to lose their job after a deflationary shock t...
Preprint
Full-text available
We study domestic and international drivers of long-term interest rates using newly compiled financial market data for Switzerland starting in 1852. We use a time-varying parameter vector autoregressive model to estimate long-term trends in nominal interest rates, exchange rate growth, and inflation. We then decompose the Swiss long-term interest r...
Article
We study the causal effects of downward nominal wage rigidity after a deflationary monetary policy shock using Swiss data on employee‐level contractual wages matched with income and employment from social security register data. We exploit the discontinuity around the origin of the wage growth distribution to compare the outcomes of individuals wit...
Article
We analyze the impact of interest-bearing central bank bills on financial market variables in Switzerland. The unique institutional setting allows us to identify the causal effects of two orthogonal shocks occurring on days with central bank bill auctions through heteroscedasticity: an overnight interest rate shock and a signalling shock. The first...
Preprint
Full-text available
I simulate the distribution of SNB profits to the Confederation and Cantons under a hypothetical scenario, in which the new agreement between the Swiss National Bank and the Federal Department of Finance would have been in place from 2005-2019. All else equal, the new agreement leads to: (i) a higher average profit distribution; (ii) larger annual...
Preprint
Full-text available
This paper identifies the effect of variation in government-backed loan supply on unemployment exploiting regional variation in the Swiss COVID–19 lending program. The rules of the program introduce variation in loan supply across Cantons. This variation helps disentangling supply from demand effects. Higher loan supply reduces unemployment. Increa...
Article
Full-text available
We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six exchange rates against the US Dollar. The empirical model is based on the assumption that both countries’ monetary policy strategies may be well described by Taylor rules with a time-varying inflation target, a time-varying natural...
Article
Full-text available
Because macroeconomic data is published with a substantial delay, assessing the health of the economy during the rapidly evolving COVID-19 crisis is challenging. We develop a fever curve for the Swiss economy using publicly available daily financial market and news data. The indicator can be computed with a delay of 1 day. Moreover, it is highly co...
Preprint
Full-text available
This paper provides novel evidence on downward nominal wage rigidities and their allocative effects in Switzerland. We match individual wages from a biannual firm survey with information on annual income and employment from social security register data. We find relevant downward nominal wage rigidities in the base wage, which accounts for more tha...
Technical Report
Full-text available
Because macroeconomic data is published with a substantial delay, assessing the health of the economy during the rapidly evolving Covid-19 crisis is challenging. We develop a fever curve for the Swiss economy using publicly available daily financial market and news data. The indicator can be computed with a delay of one day. Moreover, it is highly...
Technical Report
Full-text available
Kurzfassung: Diese Studie zeigt wie sich ein vorzeitiger Ausstieg aus der Tiefzinspolitik auf den Wechselkurs und die schweizerische Wirtschaft auswirken würde. Ein uberraschender Ausstieg aus der Tiefzinspolitik würde den Schweizer Franken um 3-7% aufwerten. Zudem würde dies zu einem Rückgang der Wirtschaftsaktivität und der Konsumentenpreise führ...
Article
Full-text available
I estimate average economic activity during periods of inflation and deflation while accounting for measurement errors in 19th century prices. These measurement errors lead to underestimation (overestimation) of economic activity during periods of inflation (deflation). By exploiting multiple deflation indicators, it is possible to recover the true...
Technical Report
Full-text available
We analyze interest-bearing central bank debt as a tool to control the money market rate. In theory, the money market rate increases with the volume of, and yield on, central bank debt. Moreover, issuing central bank debt implements an interest rate floor allowing to steer the money market rate with large excess reserve balances. We then exploit th...
Article
Full-text available
We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six exchange rates against the US dollar. The empirical model is based on the assumption that two countries’ monetary policy strategies may be well described by Taylor rules with a time‐varying inflation target, a time‐varying natural...
Article
Full-text available
Abstract I assess the stability of the monetary environment in Switzerland over the past two centuries. In order to control for transitory measurement errors, in particular in nineteenth century data, I use an unobserved-components stochastic-volatility model to extract the permanent trends from several nominal variables. The descriptive analysis o...
Preprint
Full-text available
We analyze export price adjustment of Swiss manufacturing firms using a novel data set of matched export, import, and domestic prices. After a large, unexpected, and permanent appreciation of the Swiss franc, export prices set in domestic currency fell less than export prices set in foreign currency. This difference prevails if we control for varia...
Article
The interaction of macroeconomic variables may change as nominal short-term interest rates approach zero. In this paper, we propose to capture these changing dynamics with a state-switching parameter model which explicitly takes into account that the interest rate might be constrained near the zero lower bound by using a Tobit model. The probabilit...
Article
New Keynesian models with sticky prices make stark predictions about how the economy responds to shocks under different monetary policy regimes when short‐term interest rates are constrained by an effective lower bound. We use the Swiss case as a laboratory to find evidence in favour of these predictions. We propose a Bayesian VAR to estimate impul...
Article
This paper investigates the information content of a large sectoral mixed-frequency business tendency survey for Switzerland relative to competing early available monthly information. Using a factor-augmented regression framework, we find that a broad set of dimensions of the survey provides additional information for explaining CPI inflation, empl...
Article
This paper documents nominal stability in Switzerland from 1805 to 2013 using a data set on annual price, wage and nominal GDP changes. The trends of these indicators are estimated by an unobserved-components stochastic-volatility model in order to control for short-term fluctuations and measurement error. Based on a narrative analysis of these tre...
Article
This paper derives stylised facts on sectoral inflation dynamics and confronts these facts with two popular theoretical models of price setting. Based on sectoral price responses to macroeconomic shocks estimated from an approximate factor model, we find that the frequency of price changes explains a relevant share of the cross-sectional variation...
Article
Full-text available
This study documents the SNB’s ARIMA model based on disaggregated CPI data used to produce inflation forecasts over the short-term horizon, and evaluates its forecasting performance. Our findings suggest that the disaggregate ARIMA model for the Swiss CPI performed better than relevant benchmarks. In particular, estimating ARIMA models for individu...
Article
In this paper, we follow the recent empirical literature that has specified reduced-form models for price setting that are closely tied to (S, s)-pricing rules. Our contribution to the literature is twofold. First, we propose an estimator that relaxes distributional assumptions on the unobserved heterogeneity. Second, we use the estimator to examin...
Article
Full-text available
This paper disentangles fluctuations in disaggregate prices into macroeconomic and idiosyncratic components using a factor-augmented vector autoregression (FAVAR) in order to shed light on sectoral inflation dynamics in Switzerland. We find that disaggregated prices react only slowly to monetary policy and other macroeconomic shocks, but relatively...
Article
Full-text available
This paper estimates the response of consumer prices to a monetary policy shock in Switzerland. We find that there is no evidence of a price puzzle at the aggregate level. This is because our factor-augmented vector autoregression (FAVAR) avoids misspecification by including more information than a traditional VAR. However, the response is still de...
Article
Full-text available
While standard price-setting models suggest constant or increasing hazard functions for price changes, empirical studies often find decreasing hazards, possibly due to misspecified or neglected heterogeneity. This paper attempts to disentangle the downward bias into various sources: observed and unobserved heterogeneity which can be either constant...
Article
This paper presents hazard function estimates based on Swiss CPI micro price data. The underlying duration model accounts for unobserved heterogeneity as well as for a range of observed factors. There is evidence of constant or even upward-sloping hazards. Assuming realistic long-run trends for the time-varying covariates, the hazards are increasin...
Article
Full-text available
This paper investigates price-setting behaviour of firms based on the individual price quotes underlying the Swiss consumer price index. The data set covers the years from 1993 to 2005. Six main findings emerge from the analysis. (i) Prices are sticky; the median duration amounts to 4.6 quarters. (ii) Price-setting behaviour is heterogeneous across...

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Projects

Projects (5)
Project
Explain and measure the impact of conventional unconventional monetary policy actions and strategies.
Project
Measure the determinants of nominal and real fluctuations across various monetary regimes.