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The common component of firm growth

Alessi, Lucia and Barigozzi, Matteo and Capasso, Marco (2013) The common component of firm growth. Structural Change and Economic Dynamics, 26. pp. 73-82. ISSN 0954-349X

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Identification Number: 10.1016/j.strueco.2012.11.002

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.

Item Type: Article
Official URL: http://www.journals.elsevier.com/structural-change...
Additional Information: © 2012 Elsevier B.V.
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
H Social Sciences > HF Commerce
JEL classification: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations; Cycles
O - Economic Development, Technological Change, and Growth > O3 - Technological Change; Research and Development > O30 - General
Sets: Departments > Statistics
Date Deposited: 20 Feb 2013 11:21
Last Modified: 19 Aug 2013 13:45
URI: http://eprints.lse.ac.uk/id/eprint/48760

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