The common component of firm growth
Alessi, L., Barigozzi, M. & Capasso, M.
(2013).
The common component of firm growth.
Structural Change and Economic Dynamics,
26, 73-82.
https://doi.org/10.1016/j.strueco.2012.11.002
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 |
|---|---|
| Copyright holders | © 2012 Elsevier B.V. |
| Departments | LSE > Academic Departments > Statistics |
| DOI | 10.1016/j.strueco.2012.11.002 |
| Date Deposited | 20 Feb 2013 |
| URI | https://researchonline.lse.ac.uk/id/eprint/48760 |
Explore Further
- http://www.lse.ac.uk/Statistics/People/Dr-Matteo-Barigozzi.aspx (Author)
- https://www.scopus.com/pages/publications/84881029064 (Scopus publication)
- http://www.journals.elsevier.com/structural-change... (Official URL)