|
EconStor >
Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/27743
|
| | |
Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Bachmann, Ruediger | | en_US |
| dc.contributor.author | | Bayer, Christian | | en_US |
| dc.date.accessioned | | 2009-07-20 | | en_US |
| dc.date.accessioned | | 2009-09-07T14:41:14Z | | - |
| dc.date.available | | 2009-09-07T14:41:14Z | | - |
| dc.date.issued | | 2009 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/27743 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Dt. Bundesbank Frankfurt, M. | | en_US |
| dc.relation.ispartofseries | | Discussion Paper Series 1: Economic Studies 2009,17 | | en_US |
| dc.subject.jel | | E20 | | en_US |
| dc.subject.jel | | E22 | | en_US |
| dc.subject.jel | | E30 | | en_US |
| dc.subject.jel | | E32 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Ss model | | en_US |
| dc.subject.keyword | | RBC model | | en_US |
| dc.subject.keyword | | cross-sectional firm dynamics | | en_US |
| dc.subject.keyword | | lumpy investment | | en_US |
| dc.subject.keyword | | countercyclical risk | | en_US |
| dc.subject.keyword | | aggregate shocks | | en_US |
| dc.subject.keyword | | idiosyncratic shocks | | en_US |
| dc.subject.keyword | | heterogeneous firms. | | en_US |
| dc.subject.stw | | Real Business Cycle | | en_US |
| dc.subject.stw | | Produktivität | | en_US |
| dc.subject.stw | | Schock | | en_US |
| dc.subject.stw | | Konjunktur | | en_US |
| dc.subject.stw | | Risiko | | en_US |
| dc.subject.stw | | Innovation | | en_US |
| dc.subject.stw | | Investition | | en_US |
| dc.subject.stw | | Dynamisches Gleichgewicht | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.subject.stw | | Deutschland | | en_US |
| dc.title | | The cross-section of firms over the business cycle: new facts and a DSGE exploration | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 605021503 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:bubdp1:200917 | | - |
| Appears in Collections: | | Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|