The franc shock and Swiss GDP: how long does it take to start feeling the pain?
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摘要: ABSTRACTThe article addresses the question on what is typical time horizon over which a full transmission of movements in real exchange rate takes place into economy. We base our analysis mixed-frequency small-scale dynamic factor model (DFM) proposed by Siliverstovs 2012 fitted to Swiss data. In this article, we augment benchmark with franc vis-a-vis currencies its 24 trading partners, while keeping rest specification intact. are interested investigating relationship between common latent factor, representing business cycle, and rate. explore temporal these two variables varying lag enters recording magnitude statistical significance loading coefficient equation pertaining variable. Our main conclusion that fluctuations in...
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