Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/128030
Authors: 
Fischer, Andreas
Amstad, Marlene
Year of Publication: 
2004
Series/Report no.: 
Working Paper, Study Center Gerzensee 04.06
Abstract: 
The timely release of macroeconomic data imposes a distinct structure on the panel: the clustering and sequential ordering of real and nominal variables. We call this orderly release of economic data sequential information flow. The ordered panel generates a new class of restrictions that are helpful in interpreting the real-time estimates of monthly core inflation through the identification of turning points and structural shocks. After establishing the sought-after properties (of smoothness, stability, and forecasting) for core inflation, we turn to the discussion of real-time diagnosis for a low inflation environment. This is done in the context of weekly estimates of Swiss inflation. The intra-monthly estimates for core inflation find that it is worthwhile to update this measure at least twice a month.
Subjects: 
Inflation
Common Factors
Sequential Information Flow
JEL: 
E52
E58
Document Type: 
Working Paper

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