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Structural Change and Economic DynamicsVolume 26, September 2013, Pages 73-82

The common component of firm growth(Article)

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  • aEuropean Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany
  • bDepartment of Statistics, London School of Economics and Political Science, United Kingdom
  • cMaastricht University, School of Business and Economics and UNU-MERIT, Netherlands

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. © 2012 Elsevier B.V.

Author keywords

ComovementsDynamic factor analysisFirm growth

Indexed keywords

GEOBASE Subject Index:economic structurefactor analysisfirm sizegrowth rate
  • ISSN: 0954349X
  • Source Type: Journal
  • Original language: English
  • DOI: 10.1016/j.strueco.2012.11.002
  • Document Type: Article

  Alessi, L.; European Central Bank, Kaiserstrasse 29, Germany;
© Copyright 2013 Elsevier B.V., All rights reserved.

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