Macro and micro level impulse responses: A survey experimental identification procedure
Open access
Date
2015-06Type
- Working Paper
ETH Bibliography
yes
Altmetrics
Abstract
This paper analyzes the effects of macroeconomic shocks on prices and output at different levels of aggregation using a bottom up approach. We show how to generate firm level impulse responses by incorporating experimental settings into surveys and by exposing firm executives to treatment scenarios. Aggregation then results in industry level and economy wide impulse responses. We further show that the effects obtained from survey experiments can be mapped into impulse responses retrieved from VARs. We apply the procedure to study the effects of oil price shocks using a representative sample of over 1000 Swiss firms. At the aggregate and industry level our findings confirm, with some notable exceptions, results from a standard VAR. At the micro level we analyze the driving forces behind firm specific impulse responses, controlling for several firm characteristics via panel data analysis and thereby solving existing puzzles. Show more
Permanent link
https://doi.org/10.3929/ethz-a-010479956Publication status
publishedJournal / series
KOF Working PapersVolume
Publisher
KOF Swiss Economic Institute, ETH ZurichSubject
MINERALÖLPRODUKTE (ERDÖLTECHNOLOGIE); Macroeconomic shock identification; COMPANIES; MINERAL OIL PRODUCTS (PETROLEUM TECHNOLOGY); ERHEBUNGSVERFAHREN (SOZIALWISSENSCHAFTEN); Oil price shock; PRICES + PRICE FORMATION; UNTERNEHMEN; SURVEY METHODS (SOCIAL SCIENCES); Survey experiments; VOLATILITÄT (FINANZEN); SCHWEIZ (MITTELEUROPA). SCHWEIZERISCHE EIDGENOSSENSCHAFT; SWITZERLAND (CENTRAL EUROPE). SWISS CONFEDERATION; MAKROÖKONOMISCHE MODELLE (OPERATIONS RESEARCH); Firm level data; PREISE + PREISBILDUNG; MACROECONOMIC MODELS (OPERATIONS RESEARCH); VOLATILITY (FINANCE); Survey based impulse responsesOrganisational unit
02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
More
Show all metadata
ETH Bibliography
yes
Altmetrics