Publications (selected)

Development of Economic Indicators (jointly with and for Fed NY- PBoC- SNB)
  • Federal Reserve Bank of New York staff Underlying Inflation Gauge (UIG): indicator for US trend inflation,

    developed and implemented during assignment as Resident Visiting Scholar at the Fed NY 2004-2005; UIG for the US is updated daily at the Fed NY since June 2005; part of Fed NY Staff Economic Outlook; presented and discussed at ‘Fed NY Economic Advisory Panel’ (members include A. Blinder, K. Rogoff, F. Mishkin, Michael Woodford); UIG is covered in speech by Fed NY president William C. Dudley on ‘Conducting Monetary Policy: Rules, Learning and Risk Management’ (24 May 2012); paper submitted to ‘FRBNY Economic Policy Review’.

  • People’s Bank of China – Underlying Inflation Gauge (UIG) for China: indicator for Chinese trend inflation,

    developed and implemented for PBoC internal updates during regular visits starting in 2012. Presented at PBoC internal seminars and published as PBoC working paper, ongoing advisory on inflation gauges and joint research.

  • SNB Market Analysis Platform (MAP),

    an online Management Information Tool on Financial Markets for SNB Board members and staff; developed and implemented from 2008-2010.

  • Swiss National Bank – Dynamic Factor Inflation (DFI): a measure for Swiss trend inflation,

    developed and implemented 2002-2004 at the SNB.

Academic Working Papers
  • Investing in emerging markets: How do investors differentiate between sovereign risks?,

    2015, with Eli Remolona and Jimmy Shek, manuscript presented at conference of the Journal of International Money and Finance (at City University of Hong Kong), the Bank of Thailand research seminar, the Hong Kong Institute of Monetary Research seminar, BIS Brown bag, 15th EMEAP MFSC Meeting in Tokyo, Fourth Meeting on Reserve Management in the Americas, 2013, FSB Regional Consultative Group for Asia, Central Bank Advisory Committee in Basel.

  • 对中国基础通货膨胀指标的研究,

    2015, with Ye Huan and Ma Guonan, PBoC working paper No. 2015(5), (cn)

  • Developing an Underlying Inflation Gauge for China,

    2014, with Ye Huan and Ma Guonan, BIS working paper No. 465.

  • The Federal Reserve Bank of New York staff Underlying Inflation Gauge,

    2014, with Simon Potter and Robert Rich published as FRBNY Working paper No. 672 in April 2014 and BIS working paper No. 453 in July 2014; published in Economic Policy Review (2017).

  • 建立中国基础通货膨胀指标,

    2014, with Ye Huan and Ma Guonan, PBoC working paper, Statistics and Analysis Department, No. 2014 (10), (cn).

  • Optimal Diversification for Institutional Investors: Before and After the Crisis,

    2014, with Joachim Coche, manuscript presented at ‘Joint Worldbank/BIS Conference’ in Washington 2013, BIS Reserve Manager Seminar in Kunming China 2013, and BIS Reserve Manager Seminar in Lucerne 2014.

  • Real Time Underlying inflation gauges for policy makers,

    2009, FRBNY Staff Report No. 420, with Simon Potter.

  • Monthly Pass-Through Ratios,

    2009, Federal Reserve Bank of Dallas, Globalization and Monetary Policy Institute Working Paper No. 26, with Andreas Fischer.

  • Time-Varying Pass-Through from Import Prices to Consumer Prices: Evidence from an Event Study with Real-Time Data,

    2005, FRBNY Staff Report No. 228, with Andreas Fischer.

  • Shock Identification of Macroeconomic Forecasts Based on Daily Panels,

    2005, FRBNY Staff Report No. 206, with Andreas Fischer.

  • Sequential Information Flow and Real-Time Diagnosis of Swiss Inflation: Intra-Monthly DCF Estimates for a Low-Inflation Environment,

    2004, CEPR-Discussion Paper 4627, with Andreas Fischer.

  • Deriving Unbiased Thresholds To Signal Turning Points In Leading Indicators,

    manuscript presented at the International Symposium on Forecasting, Pine Mountain USA, June 2001.

(cn) = in Chinese

Academic Journals
  • The New York Fed Staff Underlying Inflation Gauge (UIG),

    2017, with Simon Potter and Robert Rich, Economic Policy Review, Federal Reserve Bank of New York.

  • How do global investors differentiate between sovereign risks? The new normal versus the old,

    2016, with Eli Remolona and Jimmy Shek, Journal of International Money and Finance, Elsevier, vol. 66(C), pages 32-48.

  • A spare tire for capital markets: Fostering corporate bond markets in Asia,,

    2016, with Steven Kong & Frank Packer & Eli Remolona, BIS Papers No. 85, Bank for International Settlements.

  • Sovereign ratings of advanced and emerging economies after the crisis,

    2015, with Frank Packer, BIS Quarterly Review, Bank for International Settlements.

  • Monetary policy implementation: common goal but different practices,

    2011, with Antoine Martin, Current Issues, Federal Reserve Bank of New York.

  • Monthly Pass-Through Ratios,

    Journal of Economic Dynamics and Control, 2010, with Andreas Fischer.

  • Are Weekly Inflation Forecasts Informative?,

    Oxford Bulletin of Economics and Statistics, 2009, Vol.71, Issue 2(04), with Andreas Fischer.

  • Do macroeconomic announcements move inflation forecasts?,

    Federal Reserve of St. Louis Review, 2009, II 91(5 Part 2), 507-518, with Andreas Fischer.

Applied Journals
  • The SIC system and the financial market crisis,

    ClearIT – The Swiss professional journal for payment traffic, Edition 41, September 2009.

  • New core inflation measure: dynamic factor inflation (DFI),

    New core inflation measure: dynamic factor inflation (DFI)

  • Oil prices and monetary policy – a new paradigm,

    Quarterly Bulletin of the Swiss National Bank, 2005, with Philipp Hildebrand.

  • Search theory and applied economic research,

    Quarterly Bulletin of the Swiss National Bank, 2002, with Aleksander Berentsen.

  • Credit rating and interest rates, credit losses and defaults – Einblick in das Innenleben des Kreditgeschäfts,

    Economic Briefing Nr. 22, Credit Suisse, 2002, with Urs Wolf.

  • Befindet sich die Industriekonjunktur bereits in einer Überhitzungsphase? – Konstruktion von Schwellenwerten zur Früherkennung von konjunkturellen Extremphasen anhand von Umfragedaten für die Industrie,

    KOF Monatsbericht, Konjunkturforschungsstelle der ETH Zürich, January 2002 (g).

  • Backtesting and Performance Improvement of Credit Suisse quantitative firm rating,

    internal Credit Suisse handbook, December 2001.

  • Vom Rating zum Kreditsatz, KMU das Magazin für Unternehmer, Geschäftsführer, höheres Kader,

    Juni 2001, pp. 22-29, with Cesare Ravara, Peter Weibel und Urs Wolf (g).

  • Der Kampf um Kredite und Konditionen,

    KMU das Magazin für Unternehmer, Geschäftsführer, höheres Kader, Mai 2001, pp. 28-35, with Cesare. Ravara, Peter Weibel und Urs Wolf (g).

  • Dating and Predicting Regime Phase Changes,

    The Swiss Business Cycle, KOF/ETH-Working Paper, 1999.

  • Methods to identify and forecast business cycle turning points,

    Business Cycle – monthly report of the Swiss Economic Institute (KOF/ETH), December 1997.

  • Investment behaviour of Swiss firms,

    Annual Publication of the Swiss Economic Institute (KOF/ETH), 1996, 1997, 1998 and 1999.

(g) = in German

Expert Reports
  • The USD denominated Asian Bond Market – indices and customisation (vol.2),

    2014, report for the EMEAP working group on financial markets.

  • The USD denominated Asian Bond Market – indices and customisation (vol.1),

    2013, report for the EMEAP working group on financial markets.

  • FX Derivatives – relevance for monetary policy,

    September 2011, headed interdepartmental working group.

  • Demand for CHF from 2008 to 2010: assets and investors,

    February 2011, SNB internal report presented to the SNB Board.

  • CHF-Overshooting – measurement and assessment from a market perspective,

    June 2010, SNB internal study with Ch. Meyer.

  • Central bank unconventional policies,

    report prepared by a joint CGFS/MC study group, BIS, 2009. (H. Nakaso, G. Debelle, D. Longworth, F. Papadia, F. Haas, H.-H. Kotz, E. Zautzik, J. Iwasaki, J. Alonso, T. Jordan, M. Amstad, M. Cross, St. Meyer, J. E. Gagnon, P. Mosser, K. Chen, F.-L. Michaud, D. Domanski, C. Ho).

  • Is the impact of monetary policy on banks’ lending asymmetric in Switzerland? – Evidence from a Markov Switching Model,

    manuscript presented to the SNB Board, 2003, with Sylvia Kaufmann.

  • Determinants of Swiss industry’s patent activity – Poisson and Negative-Binomial models based on firm data,

    Swiss National Science Foundation Project ‘Operating Profits and Innovation’, 1997, Zürich, with Spyros Arvanitis.

  • The economic impact of financing private consumption with consumer credits and leasing on growth and employment in Switzerland – A simulation using a Leontief-Input-Output-Matrix,

    1995, Analysis by request of the Swiss Business Federation (economiesuisse).

  • Revision of the Swiss Federal Retail Trade Statistics: Concepts, methods and recommendations,

    1994, Expert report by request of the Swiss Federal Statistical Office.

Books, Book Contributions
  • Wachstumsfluktuationen, Zykluskonzepte und konjunkturelle Wendepunkte,

    in: Classification and Clustering in Business Cycle Analysis, Ed. Heilemann&Weihs, 2007, with Bernd Schips (g).

  • Neural Networks,

    in: Geld-,Bank- und Finanzmarkt-Lexikon der Schweiz, Ed. Boemle et al., pp. 789-791, Verlag SKV, 2002, with Hans-Georg Zimmermann.

  • Signalling Bottlenecks/Overcapacities and Low/High Dynamics – A New Approach to Indicate Changes in Business Cycles,

    in: Economic Surveys and Data Analysis, CIRET Conference Proceedings, hosted by OECD, Paris, October 2000.

  • On the use of Markov Switching Models applied to business survey data for the prediction of turning points,

    in: Use of Survey Data For Industry, Research And Economic Policy – Selected Papers presented at the 24nd Ciret Conference, Wellington, New Zealand, 1999, Ashgate (2000).

  • Business Cycle Turning Points: Dating and Forecasting – Chronology of different types of turning points and development of an early warning system based on Markov switching models of Swiss survey data,

    1999, Ph.D. thesis University of St. Gallen (g).

  • How innovative is the Swiss industry? A theory based analysis using a system of Indicators,

    in: International Innovation Management – Formation of international processes of innovations to create long term advantages in competition, Editors: O. Gassmann and M. von Zedtwitz, München, Verlag Beck-Vahlen, pp. 231-258, 1996, with Spyros Arvanitis and Heinz Hollenstein.

  • Estimating length of employment duration in Switzerland – using the first data vintage from the Swiss Labour Force Survey (SLFS),

    1994, master thesis, University of Bern (g).

(g) = in German

Newspaper Articles
  • Das Zahlungssystem meistert Krise souverän,

    16.12.2009, Finanz und Wirtschaft (g).

  • Similar yet different – the US and Swiss real estate markets,

    Januar 2009, Schweizerische Personalvorsorge (g).

  • How should we assess the correction in the US real estate market?,

    23. December 2008, Neue Zürcher Zeitung, NZZ 300 (g).

  • Trends werden künftig exakter erfasst – Die Schweizerische Nationalbank publiziert ein neues Mass für Kerninflation,

    17. Mai 2006, Finanz und Wirtschaft, mit Andreas Fischer (g).

  • What is a recession?,

    12. November 2002, Neue Zürcher Zeitung, NZZ 263 (g).

(g) = in German