Firm Volatility in Granular Networks

• 成果类型: Article; Early Access
• 署名作者: Herskovic, Bernard; Kelly, Bryan; Lustig, Hanno; Van Nieuwerburgh, Stijn
• 署名单位: University of California System; University of California Los Angeles; Yale University; National Bureau of Economic Research; Stanford University; Columbia University; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/710345
• 发表日期: 2020
• 关键词: uncertainty; INVESTMENT; BEHAVIOR; origins; LINKS

摘要

Firm volatilities comove 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.