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

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  • Gregor Bäurle
  • Elizabeth Steiner

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.

Suggested Citation

  • Gregor Bäurle & Elizabeth Steiner, 2013. "How do individual sectors respond to macroeconomic shocks? A structural dynamic factor approach applied to Swiss data," Working Papers 2013-09, Swiss National Bank.
  • Handle: RePEc:snb:snbwpa:2013-09
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Gregor Bäurle & Rolf Scheufele, 2019. "Credit cycles and real activity: the Swiss case," Empirical Economics, Springer, vol. 56(6), pages 1939-1966, June.
    2. Gregor Bäurle & Matthias Gubler & Diego R. Känzig, 2017. "International inflation spillovers - the role of different shocks," Working Papers 2017-07, Swiss National Bank.
    3. Buchholz, Manuel & von Schweinitz, Gregor & Tonzer, Lena, 2018. "Did the Swiss exchange rate shock shock the market?," IWH Discussion Papers 9/2018, Halle Institute for Economic Research (IWH).
    4. Gregor Bäurle & Elizabeth Steiner & Gabriel Züllig, 2018. "Forecasting the production side of GDP," Working Papers 2018-16, Swiss National Bank.

    More about this item

    Keywords

    Sectoral value added; dynamic factor model; sign restrictions;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

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