Nonlinear Firm Dynamics

Davide Melcangi and Silvia Sarpietro (silvia.sarpietro@unibo.it)
Additional contact information
Silvia Sarpietro: https://www.unibo.it/sitoweb/silvia.sarpietro/en

No 1088, Staff Reports from Federal Reserve Bank of New York

Abstract: This paper presents empirical evidence on the nature of idiosyncratic shocks to firms and discusses its role for firm behavior and aggregate fluctuations. We document that firm-level sales and productivity are hit by heavy-tailed shocks and follow a nonlinear stochastic process, thus departing from the canonical linear. We estimate a state-of-the-art model to flexibly capture the rich dynamics uncovered in the data and characterize the drivers of nonlinear persistence and non-Gaussian shocks. We show that these features are crucial to get empirically plausible volatility and persistence of micro-originated (granular) aggregate fluctuations.

Keywords: firm dynamics; productivity; nonlinearities; non-Gaussian shocks; granular fluctuations (search for similar items in EconPapers)
JEL-codes: D22 E23 E32 (search for similar items in EconPapers)
Pages: 49
Date: 2024-03-01
New Economics Papers: this item is included in nep-bec, nep-ent, nep-sbm and nep-tid
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr1088.pdf Full text (application/pdf)
https://www.newyorkfed.org/research/staff_reports/sr1088.html Summary (text/html)

Related works:
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:fip:fednsr:97929

Ordering information: This working paper can be ordered from
pipubs@ny.frb.org

DOI: 10.59576/sr.1088

Access Statistics for this paper

More papers in Staff Reports from Federal Reserve Bank of New York Contact information at EDIRC.
Bibliographic data for series maintained by Gabriella Bucciarelli (gabriella.bucciarelli@ny.frb.org).