Firm Volatility in Granular Networks

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

No 19466, NBER Working Papers from National Bureau of Economic Research, Inc

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 customer-supplier links depend on customers size. The model produces distributions of firm volatility, size, and customer concentration consistent with the data.

JEL-codes: E1 G10 (search for similar items in EconPapers)
Date: 2013-09
New Economics Papers: this item is included in nep-bec, nep-mac and nep-net
Note: AP CF EFG
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Citations: View citations in EconPapers (81)

Published as Bernard Herskovic & Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2020. "Firm Volatility in Granular Networks," Journal of Political Economy, vol 128(11), pages 4097-4162.

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Related works:
Journal Article: Firm Volatility in Granular Networks (2020)
Working Paper: Firm Volatility in Granual Networks (2017)
Working Paper: Firm Volatility in Granular Networks (2014)
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