Econ Papers Daily / 期刊论文
企业共同波动带来的总量波动
Aggregate fluctuations from firm comovement
摘要
This paper demonstrates that correlated idiosyncratic fluctuations among firms are an important source of macroeconomic volatility. Standard methods based on cross-sectional demeaning obscure this channel by mechanically driving average pairwise correlations to zero asymptotically. We develop a nonparametric bounds approach quantifying the contribution of cross-firm comovement within industries directly from firm-level data. Applied to the United States economy, we find that such clustered comovement explains 10–15% of GDP volatility in normal times, 15–30% in downturns, and up to 45% following the Great Recession, while also helping account for the Great Moderation and its undoing.
中文摘要
本文表明，企业间相关的异质性波动是宏观经济波动的重要来源。基于横截面去均值的标准方法会机械地将平均两两相关性渐近驱动至零，从而掩盖了这一渠道。我们提出一种非参数界限方法，直接从企业层面数据量化产业内企业间共同波动的贡献。将该方法应用于美国经济，我们发现这种集群式共同波动在正常时期解释了10%–15%的GDP波动，在衰退时期解释了15%–30%，在大衰退之后高达45%，同时也有助于解释大稳健时期及其逆转。