Work

Firm Volatility in Granular Networks

Year: 2013

Type: report

Abstract: Firm volatilities co-move strongly over time, and their common factor is the dispersion of the economy-wide firm size distribution.In the cross section, smaller firms and firms with a more concentrated customer base display higher volatility.Network effects are essential to explaining the joint evolution of the empirical firm size and firm volatility distributions.We propose and estimate a simple network model of firm volatility in which shocks to customers influence their suppliers.Larger suppliers have more customers and customer-supplier links depend on customers size.The model produces distributions of firm volatility, size, and customer concentration consistent with the data.

Source: National Bureau of Economic Research

DOI: 10.3386/w19466

Authors: Bernard Herskovic, Bryan Kelly, Hanno Lustig, Stijn Van Nieuwerburgh

Institutions: National Bureau of Economic Research, University of California, Los Angeles, Yale University, Stanford University, Columbia University

Language: English

Topic: Complex Systems and Time Series Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3036833221

Cites: 71

Cited by: 63

Related to: 10