Do we need firm data to understand macroeconomic dynamics?

Michele Lenza and Ettore Savoia ()
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Ettore Savoia: Research Department, Central Bank of Sweden, Postal: Sveriges Riksbank, SE-103 37 Stockholm, Sweden

No 438, Working Paper Series from Sveriges Riksbank (Central Bank of Sweden)

Abstract: We study the role of heterogeneity in the revenues of individual firms for euro area macro financial dynamics. To this end, we specify two models: a standard aggregate vector autoregressive model (VAR) and a functional VAR (fVAR) which also incorporates the feedback loop between the firm-level revenue distribution and aggregate variables. Our results demonstrate that the behavior of the firm-level revenue distribution plays a significant role in shaping up the dynamics of key euro area aggregate (macroeconomic and financial) variables.

Keywords: Firm-level revenues; Functional Vector Autoregressions; Heterogeneous Agent Models; Business Cycle fluctuations (search for similar items in EconPapers)
JEL-codes: C11 C32 C52 C54 E22 E32 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2024-07-01, Revised 2026-04-01
New Economics Papers: this item is included in nep-bec and nep-eec
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:hhs:rbnkwp:0438

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