蝌蚪网 Journal:
Macroeconomics
ISSN 1945-7707 (Print) | ISSN 1945-7715 (Online)
Market Exposure and Endogenous Firm Volatility over the Business Cycle
蝌蚪网 Journal: Macroeconomics
(pp. 148–98)
Abstract
We propose a theory of endogenous firm-level risk over the business cycle based on endogenous market exposure. Firms that reach a larger number of markets diversify market-specific demand shocks at a cost. The model is driven only by total factor productivity shocks and captures the observed countercyclity of firm-level risk. Using a panel of US firms we show that, consistent with our theoretical model, measures of market reach are procyclical, and the countercyclicality of firm-level risk is driven by those firms that adjust their market exposure, which are larger than those that do not. (JEL D21, D22, E23, E32, L25)Citation
Decker, Ryan A., Pablo N. D'Erasmo, and Hernan Moscoso Boedo. 2016. "Market Exposure and Endogenous Firm Volatility over the Business Cycle." 蝌蚪网 Journal: Macroeconomics 8 (1): 148–98. DOI: 10.1257/mac.20130011Additional Materials
JEL Classification
- D21 Firm Behavior: Theory
- D22 Firm Behavior: Empirical Analysis
- E23 Macroeconomics: Production
- E32 Business Fluctuations; Cycles
- L25 Firm Performance: Size, Diversification, and Scope