Journal articles, policy pieces, and working papers.
This page brings together my academic publications, policy-oriented writing, and current working paper projects.
The entries are grouped by type and listed in reverse chronological order within each section. Abstracts and bibliographic details can be expanded directly from the page where available.
Motivated by the fiscal policy measures taken by euro zone governments during the 2021/2022 energy crisis, we examine their ability to counter inflationary surges resulting from energy price hikes in energy-importing economies. We use a calibrated small-open economy model in which monetary policy fixes the exchange rate. Subsidies on the sale of energy and on firms’ energy expenditures are among the most effective instruments. They reduce marginal costs and limit the pass-through of the price hike which attenuates inflation and stabilizes output and the current account. While inflation indexation of prices aggravates the adverse effects, it renders consumption tax cuts more effective as they attenuate the shock’s domestic circulation.
@article{wegmueller2024energy,title={Energy price surges and inflation: Fiscal policy to the rescue?},journal={Journal of International Money and Finance},pages={103201},year={2024},issn={0261-5606},url={https://www.sciencedirect.com/science/article/pii/S0261560624001888},author={Wegmueller, Philipp and Glocker, Christian},keywords={Inflation, Energy prices, Inflation indexation, Fiscal policy},type={Journal Articles}}
Based on a novel data set for the productive capital stock and labor supply, we present a quarterly estimation of the Swiss potential output. We apply the production function methodology put forth by the European Commission to estimate the trend of total factor productivity and the natural rate of unemployment, obtained by means of unobserved component models. The estimates of potential output are compared to the analogous estimates for several industrialized economies and to the trends in real GDP extracted by means of alternative time series filters. We find that potential output growth neither features excessive volatility nor procyclicality. By means of a pseudo real-time revision analysis, we show that our production function based output gap aligns well with evidence previously found in the literature.
@article{fischer2024assessing,title={Assessing the Potential Output for Switzerland: Determinants, Trends and Drivers},author={Fischer, Sarah and Glocker, Christian and Kaniovski, Serguei and Wegmueller, Philipp},journal={Journal of Business Cycle Research},pages={1--42},year={2024},publisher={Springer},type={Journal Articles},url={https://link.springer.com/article/10.1007/s41549-024-00100-z},}
Survey data can offer timely information on the current state of the economy and its short-term outlook. In this paper, we propose a “Swiss Economic Confidence Index” (SEC). This is a monthly indicator based on aggregating a selection of individual survey indicators, which we show to have favorable leading properties. Applying simple criteria, we select those surveys from a set of currently more than 250 sentiment indicators. We show that the SEC index provides useful signals on GDP growth in a number of real-time out-of-sample forecasting exercises.
@article{wegmueller2024capturing,title={Capturing Swiss economic confidence},author={Wegmueller, Philipp and Glocker, Christian},journal={Swiss Journal of Economics and Statistics},volume={160},number={1},pages={1--17},year={2024},publisher={SpringerOpen},url={https://sjes.springeropen.com/articles/10.1186/s41937-024-00120-7},type={Journal Articles}}
We revisit the US weekly economic index (WEI) put forth by Lewis, Mertens, Stock and Trivedi (2021). In a narrow sense, we replicate their main results with data gathered from its original sources. In a wide sense, we apply the methodology established in Wegmüller, Glocker and Guggia (2023) to adjust the weekly input series for seasonal patterns, calendar day effects, and excess volatility. In a long sense, we show that our proposed data adjustment significantly improves the nowcasting performance of the WEI.
@article{wegmuller2023us,title={US weekly economic index: Replication and extension},author={Wegmueller, Philipp and Glocker, Christian},journal={Journal of Applied Econometrics},year={2023},publisher={Wiley Online Library},url={https://onlinelibrary.wiley.com/doi/abs/10.1002/jae.2979},type={Journal Articles}}
We construct a composite index to measure the real activity of the Swiss economy on a weekly frequency. The index is based on a novel high-frequency data set capturing economic activity across distinct dimensions over a long time horizon. We propose a six-step procedure for extracting precise business cycle signals from the raw data. By means of a real-time evaluation, we highlight the importance of our proposed adjustment procedure: (i) our weekly index significantly outperforms a comparable index without adjusted input variables; and (ii) the weekly index outperforms established monthly indicators in nowcasting GDP growth. These insights should help improve other recently developed high-frequency indicators.
@article{wegmuller2023weekly,title={Weekly economic activity: Measurement and informational content},author={Wegmueller, Philipp and Glocker, Christian and Guggia, Valentino},journal={International Journal of Forecasting},volume={39},number={1},pages={228--243},year={2023},publisher={Elsevier},url={https://www.sciencedirect.com/science/article/abs/pii/S0169207021001734},type={Journal Articles}}
We reassess the evidence for (or against) a key implication of the basic real business cycle model: that aggregate hours worked increase in response to a positive technology shock. Two novel aspects are the scope (14 OECD countries) and the inclusion of data on both labor supply margins to analyze the key margin of adjustment in aggregate hours. The short-run response of aggregate hours to a positive technology shock is remarkably similar across countries, with an impact fall in 13 out of 14 countries. In contrast, its decomposition into intensive and extensive labor supply margins reveals substantial heterogeneity in labor market dynamics across OECD countries. For instance, movements in the intensive margin are the dominant channel of adjustment in aggregate hours in 6 out of 14 countries of our sample, including France and Japan.
@article{thomet2021technology,title={Technology shocks and hours worked: a cross-country analysis},author={Wegmueller, Philipp and Thomet, Jacqueline},journal={Macroeconomic Dynamics},volume={25},number={4},pages={1020--1052},year={2021},publisher={Cambridge University Press},url={https://www.cambridge.org/core/journals/macroeconomic-dynamics/article/abs/technology-shocks-and-hours-worked-a-crosscountry-analysis/EEF21EC2B5E32E2CBCCF0356FC11E984},type={Journal Articles}}
This study uses trade data from Switzerland’s Federal Customs Administration to examine the impact of COVID-19 on international goods trade between January and July 2020. We show that Swiss trade during that period fell by 11% compared to 2019 and that the contraction following the “Federal Lockdown” in mid-March was considerably steeper than the Swiss trade collapse in the aftermath of the Lehman Brothers bankruptcy in September 2008. Examining cross-country variation in COVID-19 cases, the stringency of containment measures, and Swiss trade flows, we document that the pandemic adversely affected both the demand and supply side of foreign trade, while trade restrictions and exchange rate fluctuations played no major role behind the rapid decline of Swiss trade in the first half of 2020.
@article{buchel2020swiss,title={Swiss trade during the COVID-19 pandemic: an early appraisal},author={Wegmueller, Philipp and Buechel, Konstantin and Legge, Stefan and Pochon, Vincent},journal={Swiss journal of economics and statistics},volume={156},pages={1--15},year={2020},publisher={Springer},type={Journal Articles},url={https://link.springer.com/article/10.1186/s41937-020-00069-3},}
We develop a small-scale dynamic factor model for the Swiss economy allowing for nonlinearities by means of a two-state Markov chain. The selection of an appropriate set of indicators utilizes a combinatorial algorithm. The model’s forecasting performance is as good as that of peers with richer dynamics. It proves particularly useful for a timely assessment of the business cycle stance, as the recessionary regime probabilities tend to have a leading property. The model successfully anticipated the downturn of the 2008–2009 recession and promptly indicated a fall in GDP growth following the discontinuation of the exchange rate floor of the Swiss Franc.
@article{glocker2020business,title={Business cycle dating and forecasting with real-time Swiss GDP data},author={Wegmueller, Philipp and Glocker, Christian},journal={Empirical Economics},volume={58},number={1},pages={73--105},year={2020},publisher={Springer},type={Journal Articles},url={https://link.springer.com/article/10.1007/s00181-019-01666-9},}
We assess time-variation in labor productivity growth for a broad set of OECD countries over the period 1960–2016. The analysis utilizes a quarterly dataset and takes full account of the intensive labor margin. We apply ‘data-hungry’ endogenous break tests and time-varying parameters median-unbiased estimation. While the decline in labor productivity growth is particularly striking for European countries and Japan, it is rather mild in Anglo-Saxon economies.
@article{glocker2018international,title={International evidence of time-variation in trend labor productivity growth},author={Wegmueller, Philipp and Glocker, Christian},journal={Economics Letters},volume={167},pages={115--119},year={2018},publisher={Elsevier},type={Journal Articles},url={https://www.sciencedirect.com/science/article/abs/pii/S0165176518301162},}
Recent empirical findings attribute a central role to the degree of economic openness to determine the size of the fiscal multiplier. See, for instance, Ilzetzki et al. (2013) [How big (small?) are fiscal multipliers? Journal of Monetary Economics, 60(2), 239–254]. However, traditional macroeconomic models have difficulties to account for this evidence. By introducing ‘deep-habit’ formation into a New Keynesian small open economy model, this paper provides a theoretical framework which is able to attest for the new empirical evidence. Deep habits give rise to counter-cyclical firm markups, which are crucial to generate effects of openness on the fiscal multiplier as found in the data. We study three dimensions of economic openness: exchange rate flexibility, trade openness, and capital mobility. In line with the empirical findings, we report a negative relationship between measures of economic openness and the fiscal multiplier.
@article{riguzzi2017economic,title={Economic openness and fiscal multipliers},author={Wegmueller, Philipp and Riguzzi, Marco},journal={International Economic Journal},volume={31},number={1},pages={1--35},year={2017},publisher={Taylor \& Francis},type={Journal Articles},url={https://www.tandfonline.com/doi/full/10.1080/10168737.2016.1204337},}
We develop a random forest model which allows for mixed frequencies and missing observations.
In addition, we generalize the expected value of the target variable at each node of the regression tree to allow for a linear relationship between the target and predictors.
We apply the proposed framework to provide weekly nowcasts of U.S. inflation using a large set of daily, weekly, and monthly data.
The resulting predictions are significantly better than simple univariate benchmarks for U.S. inflation rate indices and match or exceed the accuracy of the nowcasts published by the Cleveland Fed.