How do Individual Sectors Respond to Macroeconomic Shocks? A Structural Dynamic Factor Approach Applied to Swiss Data

Abstract

for their useful comments and suggestions. We are also grateful to Cédric Tille, editor at the Swiss Journal of Economics and Statistics and two anonymous referees for their careful reading of the paper and their help to improve our paper. Furthermore, we thank the participants at the Swiss National Bank Brown Bag Seminar, at a workshop hosted by the State Secretariat for Economic Affairs in 2013 and at the SSES conference 2012 in Zurich for valuable inputs. The views expressed here are those of the authors and do not necessarily reflect the views of the Swiss National Bank.

Local Labor Demand and Program Participation Dynamics: Evidence from New York SNAP Administrative Records

“…Fluctuations in manufacturing and health care services, two other industries that employ large shares of SNAP participants, were not strong predictors of SNAP exit, although we suspect this may be due to those industries being relatively slower to respond to macroeconomic shocks. See Bäeurle and Steiner () for an analysis of how different sectors respond to various types of macroeconomic shocks using Swiss data.…”

Forecasting the production side of GDP

“…3 A strong point of both types of model-the BVAR and the DFM-is that they are able to track down which macroeconomic shocks are driving the economy. Bäurle and Steiner (2015), for example, measured the response of macroeconomic shocks on sector-specific value added within a DFM framework. Such analyses enable us to quantify the impact of aggregate shocks on the individual production sectors of an economy.…”

Monetary policy through exchange rate pegs: The removal of the Swiss franc‐Euro floor and stock price reactions

“…We repeat the analysis for sectoral subcategories of the MSCI index. Sectors might respond differently to the discontinuation of the exchange rate floor (Bäurle & Steiner, 2015;Fauceglia et al, 2015), as investors might judge policy changes to be of different relevance for individual firms and distinct sectors. Nonetheless, a significant decline in asset growth in some sectors would support the drop in the aggregate index.…”

“…Therefore, the overall effect depends on the composition of importing versus exporting firms in the economy and remains unclear ex ante. Bäurle and Steiner (2015) provide evidence in a structural dynamic factor model that the negative effect through exports should dominate. We thus expect to find a significantly negative reaction of stock markets to the abolition of the minimum exchange rate.…”

“…An exchange rate survey of the SNB similarly reveals that the appreciation shock affected sectors heterogeneously (Swiss National Bank (SNB), 2015a).4 The relation between exchange rates, monetary policy, and real effects in Switzerland has, for example, been studied byBäurle and Menz (2008),Bäurle and Steiner (2015) andSiliverstovs (2016). While adjustments in the real economy are found to take a couple of months,Bonadio et al (2019) find a fast exchange-rate pass through into prices.5 The relation between exchange rates and trade is also studied byAuer and Saure (2012),Berman, Martin, and Mayer (2012) andCampa (2004).6 See the online reference: http://www.snb.ch/en/iabout/monpol/id/monpol_strat.7 See the online reference: https://www.economist.com/blogs/economist-explains/2015/01/economist-explains-13.…”