Firm Volatility in Granular Networks
Firm Volatility in Granular Networks
复制标题
细粒度网络中的公司波动性
DOI：
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发表时间：
2013
影响因子：
8.2
通讯作者：
Stijn Van Nieuwerburgh
中科院分区：
文献类型：
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作者：
Bernard Herskovic;B. Kelly;Hanno Lustig;Stijn Van Nieuwerburgh
企业的波动性随时间的推移而强烈变化，它们的共同因素是整个经济范围内企业规模分布的离散性。在横截面中，规模较小的公司和客户群更集中的公司表现出更高的波动性。网络效应是解释经验企业规模和企业波动性分布的共同演化的关键。我们提出并估计了一个简单的网络模型的公司波动，冲击客户影响他们的供应商。较大的供应商拥有更多的客户，客户与供应商之间的联系取决于客户的规模。该模型产生的公司波动性，规模和客户集中度的分布与数据一致。
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.