Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/186033 
Authors: 
Year of Publication: 
2013
Citation: 
[Journal:] Swiss Journal of Economics and Statistics [ISSN:] 2235-6282 [Volume:] 149 [Issue:] 4 [Publisher:] Springer [Place:] Heidelberg [Year:] 2013 [Pages:] 493-531
Publisher: 
Springer, Heidelberg
Abstract: 
What drives the output gap? Contrary to standard agnostic statistical approaches, New Keynesian small open economy models allow decomposing the output gap into its shocks and confirm the conventional wisdom that most of the variation is due to foreign shocks. However, the risk premium shock also plays an important role. It has a procyclical effect on the output gap except for the most recent recession, where the economic agents demanded a higher risk premium probably due to the large Swiss financial sector. This helped to dampen the recession because of the depreciation of the domestic currency due to this shock.
Subjects: 
DSGE models
output gap
small open economy
business cycle
JEL: 
C11
C51
E32
F41
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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