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dc.contributor.authorBachmann, Ruedigeren_US
dc.contributor.authorBayer, Christianen_US
dc.date.accessioned2009-07-20en_US
dc.date.accessioned2009-09-07T14:41:12Z-
dc.date.available2009-09-07T14:41:12Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/27741-
dc.description.abstractIs time-varying firm-level uncertainty a major cause or amplifier of the business cycle? This paper investigates this question in the context of a heterogeneousfirm RBC model with persistent firm-level productivity shocks and lumpy capital adjustment, where cyclical changes in uncertainty correspond naturally to cyclical changes in the cross-sectional dispersion of firm-specific Solow residual innovations. We use a unique German firm-level data set to investigate the extent to which firm-level uncertainty varies over the cycle. This allows us to put empirical discipline on our numerical simulations. We find that, while firm-level uncertainty is indeed countercyclical, it does not fluctuate enough to significantly alter the dynamics of an RBC model with only first moment shocks. The mild changes we do find are mainly caused by a bad news effect: higher uncertainty today predicts lower aggregate Solow residuals tomorrow. This effect dominates the real option value effect of time-varying uncertainty, highlighted in the literature.en_US
dc.language.isoengen_US
dc.publisherDt. Bundesbank Frankfurt, M.en_US
dc.relation.ispartofseriesDiscussion Paper Series 1: Economic Studies 2009,15en_US
dc.subject.jelE20en_US
dc.subject.jelE22en_US
dc.subject.jelE30en_US
dc.subject.jelE32en_US
dc.subject.ddc330en_US
dc.subject.keywordSs modelen_US
dc.subject.keywordRBC modelen_US
dc.subject.keywordlumpy investmenten_US
dc.subject.keywordcountercyclical risken_US
dc.subject.keywordaggregate shocksen_US
dc.subject.keywordidiosyncratic shocksen_US
dc.subject.keywordheterogeneous firmsen_US
dc.subject.keywordnews shocksen_US
dc.subject.keyworduncertainty shocks.en_US
dc.subject.stwReal Business Cycleen_US
dc.subject.stwProduktivitäten_US
dc.subject.stwSchocken_US
dc.subject.stwKonjunkturen_US
dc.subject.stwRisikoen_US
dc.subject.stwInnovationen_US
dc.subject.stwInvestitionen_US
dc.subject.stwTheorieen_US
dc.subject.stwDeutschlanden_US
dc.titleFirm-specific productivity risk over the business cycle: facts and aggregate implicationsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn60502054Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp1:200915-
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

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