Firm Volatility in Granual Networks

Stijn Van Nieuwerburgh, Hanno Lustig, Bryan Kelly and Bernard Herskovic

No 12284, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: Firm volatilities co-move 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 the strength of a customer-supplier link depends on the size of the customer. The model produces distributions of firm volatility, size, and customer concentration that are consistent with the data.

Keywords: Firm volatility; Networks; Firm size distribution; Aggregate volatility; Granularity (search for similar items in EconPapers)
JEL-codes: E20 E3 G1 L14 L25 (search for similar items in EconPapers)
Date: 2017-09
New Economics Papers: this item is included in nep-bec, nep-mac and nep-net
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://cepr.org/publications/DP12284 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Journal Article: Firm Volatility in Granular Networks (2020)
Working Paper: Firm Volatility in Granular Networks (2014)
Working Paper: Firm Volatility in Granular Networks (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:12284

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP12284

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().