Shock Identification of Macroeconomic Forecasts Based on Daily Panels

Andreas Fischer () and Marlene Amstad

No 5008, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: A new procedure for shock identification of macroeconomic forecasts based on factor analysis is proposed. The identification scheme relies on daily panels and on 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 shocks. An empirical application is provided for Swiss inflation. We show that the monetary policy shocks generate an asymmetric response to inflation, that the pass-through for CPI inflation is weak, and that the information shocks to inflation are not synchronized.

Keywords: Common factors; Inflation forecasting; Daily panels (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
Date: 2005-04
New Economics Papers: this item is included in nep-ets 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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