In the framework of a Bayesian structural dynamic factor model, we analyze how aggregate shocks affect the full set of production sectors in the Swiss economy. Our approach proves to be useful to cope with the large data set and at the same time allows us to consistently identify fundamental...

Based on a vector autoregressive model (VAR), this paper shows that time variation in monthly excess returns on Swiss government bonds and stocks is predominantly driven by news of inflation and dividends, respectively. This finding is in marked contrast to US evidence which points to a more...