@techreport{Bachmann2009cross,
abstract = {Using a unique German firm-level data set, this paper is the first to jointly study the cyclical properties of the cross-sections of firm-level real value added and Solow residual innovations, as well as capital and employment adjustment. We find two new business cycle facts: 1) The cross-sectional standard deviation of firm-level innovations in the Solow residual, value added and employment is robustly and significantly countercyclical. 2) The cross-sectional standard deviation of firm-level investment is procyclical. We show that a heterogeneousfirm RBC model with quantitatively realistic countercyclical innovations in the firm-level Solow residual and non-convex adjustment costs calibrated to the non-Gaussian features of the steady state investment rate distribution, produces investment dispersion that positively comoves with the cycle, with a correlation coefficient of 0.65, compared to 0.61 in the data. We argue more generally that the cross-sectional business cycle dynamics impose tight empirical restrictions on structural parameters and stochastic properties of driving forces in heterogeneousfirmmodels, and are therefore paramount in the calibration of these models.},
address = {Frankfurt, M.},
author = {Ruediger Bachmann and Christian Bayer},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {E20; E22; E30; E32; 330; Ss model; RBC model; cross-sectional firm dynamics; lumpy investment; countercyclical risk; aggregate shocks; idiosyncratic shocks; heterogeneous firms.; Real Business Cycle; Produktivit\"{a}t; Schock; Konjunktur; Risiko; Innovation; Investition; Dynamisches Gleichgewicht; Theorie; Deutschland},
language = {eng},
number = {2009,17},
publisher = {Dt. Bundesbank},
title = {The cross-section of firms over the business cycle: new facts and a DSGE exploration},
type = {Discussion Paper Series 1: Economic Studies},
url = {http://hdl.handle.net/10419/27743},
year = {2009}
}
