Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/174574 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
LEM Working Paper Series No. 2017/24
Verlag: 
Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM), Pisa
Zusammenfassung: 
We propose an aggregate growth index that explicitly accounts for non-normality in the micro-economic distribution of firm growth rates and for the presence of a negative scaling relation between their volatility and the size of the firm. Using Compustat data on US publicly traded company, we show that the new index tracks aggregate fluctuations better than the sample average, confirming that the statistical properties characterizing the micro-economic dynamics of firms are relevant for the dynamics of the aggregate. To better characterize the origins of aggregate fluctuations, we decompose the index in two parts, describing respectively the modal (typical) value of growth rates and the tilt (asymmetry) of their distribution. Regression analysis shows that models based on this decomposition, despite their simplicity, possess a remarkable explanatory and predictive power with respect to the aggregate growth.
Schlagwörter: 
Firm growth rates asymmetry and volatility
Aggregate economic fluctuations and business cycles
Aggregation of non-normal variables
JEL: 
C13
D22
E3
L25
Dokumentart: 
Working Paper

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