Aggregate fluctuations and the distribution of firm growth rates
| Autor: | Le Li, Giulio Bottazzi, Angelo Secchi |
|---|---|
| Přispěvatelé: | Scuola Universitaria Superiore Sant'Anna [Pisa] (SSSUP), Chuo University (Chuo University), Paris School of Economics (PSE), École des Ponts ParisTech (ENPC)-École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS)-École des hautes études en sciences sociales (EHESS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), Paris Jourdan Sciences Economiques (PJSE), Université Paris 1 Panthéon-Sorbonne (UP1)-École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-École des hautes études en sciences sociales (EHESS)-École des Ponts ParisTech (ENPC)-Centre National de la Recherche Scientifique (CNRS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), Scuela Superiore Sant'Anna di Pisa, Université Panthéon-Sorbonne (UP1)-École normale supérieure - Paris (ENS Paris)-Institut National de la Recherche Agronomique (INRA)-École des hautes études en sciences sociales (EHESS)-École des Ponts ParisTech (ENPC)-Centre National de la Recherche Scientifique (CNRS) |
| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: |
Economics and Econometrics
Sample average Aggregate growth Central tendency media_common.quotation_subject 05 social sciences Firm growth rates asymmetry and volatility Aggregate economic fluctuations and business cycles Regression analysis Aggregation of non-normal variables [SHS.ECO]Humanities and Social Sciences/Economics and Finance Asymmetry 8. Economic growth 0502 economics and business Predictive power Econometrics 050207 economics Volatility (finance) Scaling 050203 business & management media_common Mathematics |
| Zdroj: | Industrial and Corporate Change Industrial and Corporate Change, Oxford University Press (OUP), 2019, 28 (3), pp.635-656. ⟨10.1093/icc/dtz016⟩ |
| ISSN: | 0960-6491 1464-3650 |
| DOI: | 10.1093/icc/dtz016⟩ |
| Popis: | International audience; We propose an aggregate growth index that explicitly accounts for fat tails in the firm size distribution and for the negative scaling relation between the size of the firm and the volatility of its growth rates. Using Compustat data on US publicly traded company, we show that the new index tracks aggregate fluctuations much better than simpler measures of central tendency of the dynamics of firms, like the growth rates sample average, confirming that the statistical properties characterizing the micro-economic dynamics of firms are relevant for the dynamics of the aggregate. To better characterize the origins of aggregate fluctuations, we decompose the index in two parts, describing, respectively, the modal (typical) value of log growth rates and the tilt (asymmetry) of their distribution. Regression analysis shows that models based on this decomposition, despite their simplicity, possess a remarkable explanatory and predictive power with respect to the aggregate growth. |
| Databáze: | OpenAIRE |
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