The common component of firm growth

L. Alessi; M. Barigozzi; M. Capasso

doi:10.1016/j.strueco.2012.11.002

The common component of firm growth

L. Alessi^*, M. Barigozzi, M. Capasso

^*Corresponding author for this work

Macro, International & Labour Economics

Research output: Contribution to journal › Article › Academic › peer-review

Abstract

We use a factor model to detect the presence of economy-wide underlying forces leading firm growth. By using quarterly firm level data on 660 US firms for 20 years, we find evidence of a unique common factor explaining approximately one fifth of the variance of firm growth rates. We investigate the influence of the common shock on the cross-correlations of the growth rates, and we study the firm impulse responses to the shock, both on average for the whole dataset and on some particular subsets of firms, defined according to the firms’ size and industrial sector.

Original language	English
Pages (from-to)	73-82
Number of pages	10
Journal	Structural Change and Economic Dynamics
Volume	26
DOIs	https://doi.org/10.1016/j.strueco.2012.11.002
Publication status	Published - Sept 2013

Keywords

Dynamic factor analysis
Firm growth
Comovements
BUSINESS-CYCLE
NUMBER
TECHNOLOGY
MODELS
SHOCKS
REAL

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abstract = "We use a factor model to detect the presence of economy-wide underlying forces leading firm growth. By using quarterly firm level data on 660 US firms for 20 years, we find evidence of a unique common factor explaining approximately one fifth of the variance of firm growth rates. We investigate the influence of the common shock on the cross-correlations of the growth rates, and we study the firm impulse responses to the shock, both on average for the whole dataset and on some particular subsets of firms, defined according to the firms{\textquoteright} size and industrial sector.",

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AU - Alessi, L.

AU - Barigozzi, M.

AU - Capasso, M.

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AB - We use a factor model to detect the presence of economy-wide underlying forces leading firm growth. By using quarterly firm level data on 660 US firms for 20 years, we find evidence of a unique common factor explaining approximately one fifth of the variance of firm growth rates. We investigate the influence of the common shock on the cross-correlations of the growth rates, and we study the firm impulse responses to the shock, both on average for the whole dataset and on some particular subsets of firms, defined according to the firms’ size and industrial sector.

KW - Dynamic factor analysis

KW - Firm growth

KW - Comovements

KW - BUSINESS-CYCLE

KW - NUMBER

KW - TECHNOLOGY

KW - MODELS

KW - SHOCKS

KW - REAL

U2 - 10.1016/j.strueco.2012.11.002

DO - 10.1016/j.strueco.2012.11.002

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SN - 0954-349X

VL - 26

SP - 73

EP - 82

JO - Structural Change and Economic Dynamics

JF - Structural Change and Economic Dynamics

ER -

The common component of firm growth

Abstract

Keywords

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