How do individual sectors respond to macroeconomic shocks? A structural dynamic factor approach applied to Swiss data

Gregor Bäurle and Elizabeth Steiner
Authors registered in the RePEc Author Service: Gregor Bäurle ()

No 2013-09, Working Papers from Swiss National Bank

Abstract: Surprisingly little empirical work is available on how individual production sectors respond to macroeconomic shocks. The model developed in this paper quantifies the impact of monetary policy, exchange rates and external demand on the various production sectors of the Swiss economy. Our results show that such shocks are incompletely transmitted and that their effect is heterogeneous across sectors. The information gained through this work is new and a useful contribution for policymakers as it enables them to assess the consequences of their decisions on the various sectors. The analysis is done in the framework of a structural dynamic factor model in order to cope with the large data dimensions. The model is estimated on Swiss data, but because it is carefully specified to capture the macroeconomic dynamics of a large set of variables in a small and open economy, its specification may also serve as a benchmark for other countries with this attribute.

Keywords: Sectoral value added; dynamic factor model; sign restrictions (search for similar items in EconPapers)
JEL-codes: C1 C3 (search for similar items in EconPapers)
Pages: 58 pages
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Journal Article: How do Individual Sectors Respond to Macroeconomic Shocks? A Structural Dynamic Factor Approach Applied to Swiss Data (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:snb:snbwpa:2013-09

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