My da|ra Login
Detailed view
Replication data for: Market Exposure and Endogenous Firm Volatility over the Business Cycle
- Decker, Ryan A.
- D'Erasmo, Pablo N.
- Moscoso Boedo, Hernan
-
Abstract
We propose a theory of endogenous firm-level risk over the business cycle based on endogenous market exposure. Firms that reach a larger number of markets diversify market-specific demand shocks at a cost. The model is driven only by total factor productivity shocks and captures the observed countercyclity of firm-level risk. Using a panel of US firms we show that, consistent with our theoretical model, measures of market reach are procyclical, and the countercyclicality of firm-level risk is driven by those firms that adjust their market exposure, which are larger than those that do not. (JEL D21, D22, E23, E32, L25)
-
Is supplemented by
DOI: 10.1257/mac.20130011 (Text)
-
Decker, Ryan A., Pablo N. D’Erasmo, and Hernan Moscoso Boedo. “Market Exposure and Endogenous Firm Volatility over the Business Cycle.” American Economic Journal: Macroeconomics 8, no. 1 (January 2016): 148–98. https://doi.org/10.1257/mac.20130011.
- ID: 10.1257/mac.20130011 (DOI)
Update Metadata: 2019-10-13 | Issue Number: 1 | Registration Date: 2019-10-13
Decker, Ryan A.; D'Erasmo, Pablo N.; Moscoso Boedo, Hernan (2016): Replication data for: Market Exposure and Endogenous Firm Volatility over the Business Cycle. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. http://doi.org/10.3886/E114059
