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Firm Volatility in Granular Networks / Bernard Herskovic, Bryan Kelly, Hanno Lustig, Stijn Van Nieuwerburgh.
- Format:
- Book
- Author/Creator:
- Herskovic, Bernard.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w19466.
- NBER working paper series no. w19466
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2013.
- Summary:
- 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.
- Notes:
- Print version record
- September 2013.
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