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Correlated shocks within firms

Jesse Tweedle

Economics Letters, 2018, vol. 163, issue C, 95-97

Abstract: This paper investigates the correlations and covariances of the growth rates of establishments that have a common parent firm. Due to its association with cross-country business cycles and propagation of idiosyncratic shocks, firm comovement is an important facet of macroeconomic research. Using a long panel of Canadian manufacturing establishments, I find that within-firm establishment pairs have correlations 0.0477 higher than between-firm establishment pairs (which have an average correlation very close to zero) after controlling for industry and region effects.

Keywords: Economic fluctuations; Firm volatility; Firm ownership (search for similar items in EconPapers)
JEL-codes: E32 L20 L25 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:163:y:2018:i:c:p:95-97

DOI: 10.1016/j.econlet.2017.12.018

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