Template-type: ReDIF-Paper 1.0
Author-Name: Dr. Gregor Bäurle
Author-Name-First: Gregor
Author-Name-Last: Bäurle
Author-Person: pba511
Author-Name: Elizabeth Steiner
Author-Name-First: Elizabeth
Author-Name-Last: Steiner
Author-Person: pst643
Title: How do individual sectors respond to macroeconomic shocks? A structural dynamic factor approach  applied to Swiss data
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.
Length: 58 pages
Creation-Date: 2013
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2013/working_paper_2013_09
File-Format: text/html
Number: 2013-09
Classification-JEL: C1, C3
Keywords: Sectoral value added, dynamic factor model, sign restrictions
Handle: RePEc:snb:snbwpa:2013-09