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Shock Identification of Macroeconomic Forecasts based on Daily Panels

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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.

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  • Marlene Amstad & Andreas Fischer, 2005. "Shock Identification of Macroeconomic Forecasts based on Daily Panels," Working Papers 05.02, Swiss National Bank, Study Center Gerzensee.
  • Handle: RePEc:szg:worpap:0502
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    1. Amstad, Marlene & Fischer, Andreas M., 2010. "Monthly pass-through ratios," Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1202-1213, July.
    2. Marlene Amstad & Andreas M. Fischer, 2005. "Time-varying pass-through from import prices to consumer prices: evidence from an event study with real-time data," Staff Reports 228, Federal Reserve Bank of New York.

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    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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