A Two-Pillar Phillips Curve for Switzerland
Historically, money growth has played an important role in Swiss monetary policy, until 1999 as a target and from 2000 onwards as an indicator variable. Since the new policy framework focusses on an inflation forecast, the question arises how useful money growth is for predicting future price developments. Using Swiss data, this paper estimates a model first proposed by Gerlach (2004) for the euro area that integrates money growth in an inflation forecasting equation. This "two-pillar" Phillips curve suggests that the low-frequency component of money growth, alongside current inflation and the output gap, helps predict future inflation. These results are confirmed by an alternative money-augmented Phillips curve proposed by Neumann (2003).
|Date of creation:||2006|
|Date of revision:|
|Contact details of provider:|| Postal: Börsenstrasse 15, P. O. Box, CH - 8022 Zürich|
Phone: +41 44 631 31 11
Fax: +41 44 631 39 11
Web page: http://www.snb.ch/en/ifor/research/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cogley, Timothy, 2002.
"A Simple Adaptive Measure of Core Inflation,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 34(1), pages 94-113, February.
- Bruggeman, Annick & Camba-Méndez, Gonzalo & Fischer, Björn & Sousa, João, 2005. "Structural filters for monetary analysis: the inflationary movements of money in the euro area," Working Paper Series 0470, European Central Bank.
- Gali, Jordi & Gertler, Mark & Lopez-Salido, J. David, 2001.
"European inflation dynamics,"
European Economic Review,
Elsevier, vol. 45(7), pages 1237-1270.
- Jordi Gali & Mark Gertler & J. David Lopez-Salido, 2001. "European Inflation Dynamics," NBER Working Papers 8218, National Bureau of Economic Research, Inc.
- Jordi Galí & Mark Gertler & J. David López-Salido, 2000. "European Inflation Dynamics," Working Papers 0020, Banco de España;Working Papers Homepage.
- Galí, Jordi & Gertler, Mark & López-Salido, J David, 2001. "European Inflation Dynamics," CEPR Discussion Papers 2684, C.E.P.R. Discussion Papers.
- Fischer, Andreas M, 1993. "Is Money Really Exogenous? Testing for Weak Exogeneity in Swiss Money Demand," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(2), pages 248-58, May.
- Charles Wyplosz, 2001.
"Do we know how low inflation should be?,"
IHEID Working Papers
06-2001, Economics Section, The Graduate Institute of International Studies.
- Assenmacher-Wesche, K. & Pesaran, M.H., 2008.
"A VECX* Model of the Swiss Economy,"
Cambridge Working Papers in Economics
0809, Faculty of Economics, University of Cambridge.
- Markus Knell & Helmut Stix, 2004. "Three Decades of Money Demand Studies. Some Differences and Remarkable Similarities," Working Papers 88, Oesterreichische Nationalbank (Austrian Central Bank).
- Nicoletti-Altimari, Sergio, 2001. "Does money lead inflation in the euro area?," Working Paper Series 0063, European Central Bank.
- Nelson, Edward, 2003.
"The Future of Monetary Aggregates in Monetary Policy Analysis,"
CEPR Discussion Papers
3897, C.E.P.R. Discussion Papers.
- Nelson, Edward, 2003. "The future of monetary aggregates in monetary policy analysis," Journal of Monetary Economics, Elsevier, vol. 50(5), pages 1029-1059, July.
- Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008.
"Interpreting euro area inflation at high and low frequencies,"
European Economic Review,
Elsevier, vol. 52(6), pages 964-986, August.
- Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2006. "Interpreting Euro Area Inflation at High and Low Frequencies," CEPR Discussion Papers 5632, C.E.P.R. Discussion Papers.
- Stefan Gerlach & Katrin Assenmacher-Wesche, 2006. "Interpreting Euro area inflation at high and low frequencies," BIS Working Papers 195, Bank for International Settlements.
- Sergio Rossi, 2001. "Money and Inflation," Books, Edward Elgar Publishing, number 2571.
- Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2006.
"Money Growth, Output Gaps and Inflation at Low and High Frequency: Spectral Estimates for Switzerland,"
CEPR Discussion Papers
5723, C.E.P.R. Discussion Papers.
- Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008. "Money growth, output gaps and inflation at low and high frequency: Spectral estimates for Switzerland," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 411-435, February.
- Katrin Assenmacher-Wesche & Stefan Gerlach, 2006. "Money Growth, Output Gaps and Inflation at Low and High Frequency: Spectral Estimates for Switzerland," Working Papers 2006-05, Swiss National Bank.
- Andreas M. Fischer & Michel Peytrignet, 1990. "Are Larger Monetary Aggregates Interesting? Some Exploratory Evidence for Switzerland Using Feedback Models," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 126(IV), pages 505-520, December.
- Thomas Laubach & Adam Posen, 1997. "Some comparative evidence on the effectiveness of inflation targeting," Research Paper 9714, Federal Reserve Bank of New York.
- Petra Gerlach-Kristen, 2007.
"A Two-Pillar Phillips Curve for Switzerland,"
Swiss Journal of Economics and Statistics (SJES),
Swiss Society of Economics and Statistics (SSES), vol. 143(IV), pages 425-448, December.
- Ernst Baltensperger & Thomas Jordan & Marcel Savioz, 2001. "The demand for M3 and inflation forecasts: An empirical analysis for Switzerland," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 137(2), pages 244-272, June.
- Samuel Reynard, 2006. "Money and the Great Disinflation," Working Papers 2006-07, Swiss National Bank.
- Gerlach, Stefan, 2003. "The ECB's Two Pillars," CEPR Discussion Papers 3689, C.E.P.R. Discussion Papers.
- Albert Jaeger, 2003. "The ECB'S Money Pillar; An Assessment," IMF Working Papers 03/82, International Monetary Fund.
When requesting a correction, please mention this item's handle: RePEc:snb:snbwpa:2006-09. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Enzo Rossi)
If references are entirely missing, you can add them using this form.