Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/114459
Authors: 
Drechsel, Dirk
Mikosch, Heiner
Sarferaz, Samad
Bannert, Matthias
Year of Publication: 
2015
Series/Report no.: 
KOF Working Papers, KOF Swiss Economic Institute, ETH Zurich 386
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.
Subjects: 
Survey based impulse responses
survey experiments
macroeconomic shock identification
firm level data
oil price shock
JEL: 
C32
C83
C99
E31
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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