Journal of Political Economy · 2020 · Bernard Herskovic、Bryan Kelly、Hanno N. Lustig、Stijn Van Nieuwerburgh
中文摘要
企业波动性随时间高度共同变动,其共同因子是整个经济范围内企业规模分布的离散程度。在横截面上,规模较小的企业以及客户群更为集中的企业表现出更高的波动性。网络效应对于解释实证数据中企业规模分布与企业波动性分布的联合演化至关重要。我们提出并估计了一个简单的企业波动性网络模型,其中客户所受的冲击会影响其供应商。较大的供应商拥有更多客户,而客户—供应商之间的联结取决于客户的规模。该模型生成的企业波动性、企业规模与客户集中度分布均与数据相符。
Abstract
Firm volatilities comove strongly over time, and their common factor is the dispersion of the economy-wide firm size distribution. In the cross section, smaller firms and firms with a more concentrated customer base display higher volatility. Network effects are essential to explaining the joint evolution of the empirical firm size and firm volatility distributions. We propose and estimate a simple network model of firm volatility in which shocks to customers influence their suppliers. Larger suppliers have more customers, and customer-supplier links depend on customers’ size. The model produces distributions of firm volatility, size, and customer concentration consistent with the data.