Market Exposure and Endogenous Firm Volatility over the Business Cycle

• 成果类型: Article
• 署名作者: Decker, Ryan A.; D'Erasmo, Pablo N.; Boedo, Hernan Moscoso
• 署名单位: Federal Reserve System - USA; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University System of Ohio; University of Cincinnati
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20130011
• 发表日期: 2016
• 页码: 148-198
• 关键词: uncertainty; INVESTMENT; dispersion; creation; origins

摘要

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 counter-cyclicality of firm-level risk is driven by those firms that adjust their market exposure, which are larger than those that do not.