| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16862 |
| 来源ID | Working Paper 16862 |
| Uncertainty Business Cycles - Really? | |
| Rüdiger Bachmann; Christian Bayer | |
| 发表日期 | 2011-03-03 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | Are fluctuations in firms' profitability risk a major cause of regular business cycles? We study this question within the framework of a heterogeneous-firm dynamic stochastic general equilibrium model with fixed capital adjustment costs. In such a model, surprise increases of risk lead to a wait-and-see policy for investment at the firm level and a decrease in aggregate economic activity. We calibrate the model using German firm-level data with a broader sectoral, size and ownership coverage than comparable U.S. data sets. The use of these data enables us to provide robust lower and upper bound estimates for the size of firm-level risk fluctuations. We find that time-varying firm-level risk on its own is unlikely to be a major quantitative source of regular business cycle fluctuations. When we augment a model with only aggregate productivity shocks by time-varying risk, the risk shocks dampen the high contemporaneous correlations of the productivity-shock-only model, but do not alter the other unconditional business cycle properties. |
| 主题 | Macroeconomics ; Consumption and Investment ; Business Cycles |
| URL | https://www.nber.org/papers/w16862 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574536 |
| 推荐引用方式 GB/T 7714 | Rüdiger Bachmann,Christian Bayer. Uncertainty Business Cycles - Really?. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16862.pdf（241KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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