Idiosyncratic shocks and aggregate fluctuations in an emerging market?

• 成果类型: Article
• 署名作者: Grigoli, Francesco; Luttini, Emiliano; Sandri, Damiano
• 署名单位: International Monetary Fund; Central Bank of Chile; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF DEVELOPMENT ECONOMICS
• ISSN/ISSBN: 0304-3878
• DOI: 10.1016/j.jdeveco.2022.102949
• 发表日期: 2023
• 关键词: Business cycle; Emerging markets; Firm-level shocks; Granularity; propagation

摘要

This paper provides the first assessment of the contribution of idiosyncratic shocks to aggregate fluctuations in an emerging market using confidential data on the universe of Chilean firms. We find that idiosyncratic shocks account for more than 40 percent of the volatility of aggregate sales. Although quite large, this contribution is smaller than documented in previous studies based on advanced economies, despite a higher degree of market concentration in Chile. We show that this finding is explained by larger firms being less volatile and by weaker propagation effects across Chilean firms.