Macro and Micro Level Impulse Responses: A Survey Experimental Identification Procedure

KOF Working Paper No. 386

45 Pages Posted: 16 Jun 2015

See all articles by Dirk Drechsel

Dirk Drechsel

ETH Zurich - KOF Swiss Economic Institute

Heiner Mikosch

KOF Swiss Economic Institute

Samad Sarferaz

ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich

Matthias Bannert

ETH Zurich - KOF Swiss Economic Institute

Date Written: June 15, 2015

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.

Keywords: Survey based impulse responses, survey experiments, macroeconomic shock identification, firm level data, oil price shock

JEL Classification: C32, C83, C99, E31

Suggested Citation

Drechsel, Dirk and Mikosch, Heiner and Sarferaz, Samad and Bannert, Matthias, Macro and Micro Level Impulse Responses: A Survey Experimental Identification Procedure (June 15, 2015). KOF Working Paper No. 386. Available at SSRN: https://ssrn.com/abstract=2618994 or http://dx.doi.org/10.2139/ssrn.2618994

Dirk Drechsel

ETH Zurich - KOF Swiss Economic Institute ( email )

Zurich
Switzerland

Heiner Mikosch

KOF Swiss Economic Institute ( email )

Weinbergstrasse 35
Zurich, CH-8092
Switzerland

Samad Sarferaz (Contact Author)

ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich ( email )

Zürichbergstrasse 18
Zurich, 8092
Switzerland

Matthias Bannert

ETH Zurich - KOF Swiss Economic Institute ( email )

Zurich
Switzerland

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