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dc.contributor.author
Siliverstovs, Boriss
dc.date.accessioned
2017-09-19T07:07:55Z
dc.date.available
2017-06-11T16:23:51Z
dc.date.available
2017-09-19T07:07:55Z
dc.date.issued
2015-02
dc.identifier.uri
http://hdl.handle.net/20.500.11850/98651
dc.identifier.doi
10.3929/ethz-a-010385479
dc.description.abstract
The paper addresses the question on what is the typical time horizon over which a full transmission of movements in the real exchange rate into real economy takes place. To this end, we base our analysis on the mixed-frequency small-scale dynamic factor model of Siliverstovs (2012) fitted to the Swiss data. In this paper, we augment the benchmark model with the real exchange rate of the Swiss franc vis-a-vis currencies of its 24 trading partners, while keeping the rest of model specification intact. We are interested in investigating the relationship between the common latent factor, representing the Swiss business cycle, and the real exchange rate. We explore the temporal relationship between these two variables by varying the time lag with which the real exchange rate enters the factor model by recording magnitude and statistical signi cance of the factor loading coefficient in the equation pertaining to the real exchange rate variable. Our main conclusion is that the fluctuations in the exchange rate start influencing real economy after one month and their eff ect is practically over after thirteen months. The largest eff ect is recorded at the time horizon of about six to nine months.
en_US
dc.language.iso
en
en_US
dc.publisher
KOF Swiss Economic Institute, ETH Zurich
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
BRUTTOINLANDSPRODUKT
en_US
dc.subject
KOF-Key-frankenschock
en_US
dc.subject
SCHWEIZER FRANKEN (GELDWESEN)
en_US
dc.subject
Exchange rate
en_US
dc.subject
Mixed-frequency data
en_US
dc.subject
SCHWEIZ (MITTELEUROPA). SCHWEIZERISCHE EIDGENOSSENSCHAFT
en_US
dc.subject
SWITZERLAND (CENTRAL EUROPE). SWISS CONFEDERATION
en_US
dc.subject
ECONOMIC ANALYSIS
en_US
dc.subject
SWISS FRANC (MONETARY SYSTEM)
en_US
dc.subject
MAKROÖKONOMISCHE MODELLE (OPERATIONS RESEARCH)
en_US
dc.subject
GROSS DOMESTIC PRODUCT
en_US
dc.subject
WECHSELKURS
en_US
dc.subject
Factor model
en_US
dc.subject
GDP growth
en_US
dc.subject
MACROECONOMIC MODELS (OPERATIONS RESEARCH)
en_US
dc.subject
EXCHANGE RATE
en_US
dc.subject
WIRTSCHAFTLICHKEITSANALYSE
en_US
dc.title
The franc shock and Swiss GDP: How long does it take to start feeling the pain?
en_US
dc.type
Working Paper
dc.rights.license
In Copyright - Non-Commercial Use Permitted
dc.date.published
2015
ethz.title.subtitle
how long does it take to start feeling the pain?
en_US
ethz.journal.title
KOF Working Papers
ethz.journal.volume
373
en_US
ethz.size
18 p.
en_US
ethz.code.ddc
3 - Social sciences::330 - Economics
en_US
ethz.notes
.
en_US
ethz.identifier.nebis
010385479
ethz.publication.place
Zürich
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
ethz.date.deposited
2017-06-11T16:24:33Z
ethz.source
ECOL
ethz.source
ECIT
ethz.identifier.importid
imp59366b6eaedf144751
ethz.identifier.importid
imp593652f977a6910532
ethz.ecolpid
eth:47348
ethz.ecitpid
pub:154275
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2017-07-19T13:23:14Z
ethz.rosetta.lastUpdated
2018-08-03T00:53:14Z
ethz.rosetta.exportRequired
true
ethz.rosetta.versionExported
true
ethz.COinS
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