| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12284 |
| DP12284 Firm Volatility in Granual Networks | |
| Stijn Van Nieuwerburgh; Hanno Lustig; Bryan Kelly | |
| 发表日期 | 2017-09-07 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | 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 the strength of a customer-supplier link depends on the size of the customer. The model produces distributions of firm volatility, size, and customer concentration that are consistent with the data. |
| 主题 | Financial Economics |
| 关键词 | Firm volatility Networks Firm size distribution Aggregate volatility Granularity |
| URL | https://cepr.org/publications/dp12284 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541095 |
| 推荐引用方式 GB/T 7714 | Stijn Van Nieuwerburgh,Hanno Lustig,Bryan Kelly. DP12284 Firm Volatility in Granual Networks. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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