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dc.contributor.authorBachmann, Ruedigeren
dc.contributor.authorBayer, Christianen
dc.date.accessioned2009-07-20-
dc.date.accessioned2009-09-07T14:41:12Z-
dc.date.available2009-09-07T14:41:12Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 1 |x2009,15en
dc.subject.jelE20en
dc.subject.jelE22en
dc.subject.jelE30en
dc.subject.jelE32en
dc.subject.ddc330en
dc.subject.keywordSs modelen
dc.subject.keywordRBC modelen
dc.subject.keywordlumpy investmenten
dc.subject.keywordcountercyclical risken
dc.subject.keywordaggregate shocksen
dc.subject.keywordidiosyncratic shocksen
dc.subject.keywordheterogeneous firmsen
dc.subject.keywordnews shocksen
dc.subject.keyworduncertainty shocks.en
dc.subject.stwReal Business Cycleen
dc.subject.stwProduktivitäten
dc.subject.stwSchocken
dc.subject.stwKonjunkturen
dc.subject.stwRisikoen
dc.subject.stwInnovationen
dc.subject.stwInvestitionen
dc.subject.stwTheorieen
dc.subject.stwDeutschlanden
dc.titleFirm-specific productivity risk over the business cycle: facts and aggregate implications-
dc.typeWorking Paperen
dc.identifier.ppn60502054Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp1:200915en

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