Shock identification of macroeconomic                    forecasts based on daily panels
By: Marlene Amstad, Andreas M. Fischer.
Contributors: Fischer, Andreas M.; Federal Reserve Bank of New York.
Series: Staff reports ;; no. 206; Staff reports (Federal Reserve Bank of New York : Online) ;; no. 206.
Publisher: Federal Reserve Bank of New York
Published: 2005
Place of publication: [New York, N.Y.]
Language: eng
Format: Electronic resource
Subjects: Inflation (Finance) -- Forecasting -- Econometric models.; Factor analysis.; Inflation (Finance) -- Switzerland.
Description: "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) the information shocks to inflation are not synchronized"--Federal Reserve Bank of New York web site.
Notes: Includes bibliographical references.
"April 2005."
Title from PDF file as viewed on 4/21/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.