Daniel Kaufmann
@kaufmanndani.bsky.social
Prof. at Uni Neuchâtel, Research Fellow at KOF/ETH, Co-Editor at SJES, more on http://dankaufmann.com
Let us know what you think! You find the working paper here: ideas.repec.org/p/irn/wpaper...
Measuring multiple monetary policy shocks based on heterosce
We propose a two-step approach to estimate multiple monetary policy shocks and their causal effects based on daily financial market data and policy events. First, we combine a heteroscedasticity-based
ideas.repec.org
June 5, 2025 at 6:51 AM
Let us know what you think! You find the working paper here: ideas.repec.org/p/irn/wpaper...
Our approach has several advantages over existing high-frequency identification schemes. In particular, we only need daily financial market data. Additionally, the monetary policy shocks provide stronger instruments when employed in low-frequency macroeconomic models.
June 5, 2025 at 6:51 AM
Our approach has several advantages over existing high-frequency identification schemes. In particular, we only need daily financial market data. Additionally, the monetary policy shocks provide stronger instruments when employed in low-frequency macroeconomic models.
We disentangle multiple dimensions of these monetary policy shocks by imposing zero restrictions along the term structure of interest rates. This allows us to estimate the causal effects of these multiple dimensions using a recursive IV estimator.
June 5, 2025 at 6:51 AM
We disentangle multiple dimensions of these monetary policy shocks by imposing zero restrictions along the term structure of interest rates. This allows us to estimate the causal effects of these multiple dimensions using a recursive IV estimator.
We estimate quasi-random changes in US monetary policy (monetary policy shocks) by exploiting the cross-sectional response of daily financial market variables after FOMC announcements.
June 5, 2025 at 6:51 AM
We estimate quasi-random changes in US monetary policy (monetary policy shocks) by exploiting the cross-sectional response of daily financial market variables after FOMC announcements.
We look forward to your applications!
May 22, 2025 at 5:53 AM
We look forward to your applications!
- Updated study plan: New courses in empirical labor economics, globalization and trade policy, economic research and AI, macroeconomic policy, programming (Python), sustainable finance, and reinforcement learning
May 22, 2025 at 5:53 AM
- Updated study plan: New courses in empirical labor economics, globalization and trade policy, economic research and AI, macroeconomic policy, programming (Python), sustainable finance, and reinforcement learning
- Tracks in Sustainability and DataScience 🌱 📊
- Applications to real-world economic issues
- Privileged contact with instructors in small classes
- Pre-programs for students with bachelor’s degrees from other social sciences and HES/FH
- Applications to real-world economic issues
- Privileged contact with instructors in small classes
- Pre-programs for students with bachelor’s degrees from other social sciences and HES/FH
May 22, 2025 at 5:53 AM
- Tracks in Sustainability and DataScience 🌱 📊
- Applications to real-world economic issues
- Privileged contact with instructors in small classes
- Pre-programs for students with bachelor’s degrees from other social sciences and HES/FH
- Applications to real-world economic issues
- Privileged contact with instructors in small classes
- Pre-programs for students with bachelor’s degrees from other social sciences and HES/FH