Replication data for: Market Exposure and Endogenous Firm Volatility over the Business Cycle

Principal Investigator(s): View help for Principal Investigator(s) Ryan A. Decker; Pablo N. D'Erasmo; Hernan Moscoso Boedo

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Project Citation:

Decker, Ryan A., D’Erasmo, Pablo N., and Moscoso Boedo, Hernan. Replication data for: Market Exposure and Endogenous Firm Volatility over the Business Cycle. Nashville, TN: American Economic Association [publisher], 2016. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114059V1

Project Description

Summary: 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)

Scope of Project

JEL Classification:
      D21 Firm Behavior: Theory
      D22 Firm Behavior: Empirical Analysis
      E23 Macroeconomics: Production
      E32 Business Fluctuations; Cycles
      L25 Firm Performance: Size, Diversification, and Scope

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V1 [2019-10-12]

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