Template-type: ReDIF-Paper 1.0
Author-Name: Franziska Bignasca
Author-Name-First: Franziska
Author-Name-Last: Bignasca
Author-Name: Dr. Enzo Rossi
Author-Name-First: Enzo
Author-Name-Last: Rossi
Author-Person: pro820
Title: Applying the Hirose-Kamada filter to Swiss data: Output gap and exchange rate pass-through estimates
Abstract: Multivariate filters based on the Hodrick-Prescott filter are appealing because they combine the advantages of the Hodrick-Prescott filter with economic relationships. Recently, a new multivariate filter has been put forward by Hirose and Kamada (2003). In this article we apply this new filter to Swiss data spanning the period from 1981 to 2005. We estimate both potential output and the associated output gap with quarterly data. Moreover, a model-consistent Phillips curve for an open economy is derived from simple economic relationships. Based on the estimated Phillips curve, we investigate exchange-rate pass through effects on consumer prices. We find only a weak transmission of exchange rate fluctuations into consumer prices.
Length: 28 pages
Creation-Date: 2007
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2007/working_paper_2007_10
File-Format: text/html
Number: 2007-10
Classification-JEL: E31, E32, F41
Keywords: potential output, output gap, multivariate filter, Hirose and Kamada filter, exchange-rate pass through
Handle: RePEc:snb:snbwpa:2007-10