| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4996 |
| DP4996 Two at the Top: Quality Differentiation in Markets with Switching Costs | |
| Thomas Gehrig | |
| 发表日期 | 2005-04-23 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | International Macroeconomics |
| 关键词 | Common factors Inflation forecasting Daily panels |
| URL | https://cepr.org/publications/dp4996 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533894 |
| 推荐引用方式 GB/T 7714 | Thomas Gehrig. DP4996 Two at the Top: Quality Differentiation in Markets with Switching Costs. 2005. |
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