SNB paper tests shock response on individual sectors
Researchers at the Swiss National Bank (SNB) have sought to quantify the heterogeneous impact of shocks on different sectors of the economy, using a dynamic factor model.
In their working paper, How do individual sectors respond to macroeconomic shocks?, published yesterday, authors Gregor Bäurle and Elizabeth Steiner express surprise at the small pool of empirical literature covering the response of individual sectors to macroeconomic shocks, and seek to fill this gap. They base their model on
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