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    Aggregate fluctuations and the cross-sectional dynamics of firm growth

    Holly, S. and Petrella, Ivan and Santoro, E. (2013) Aggregate fluctuations and the cross-sectional dynamics of firm growth. Journal of the Royal Statistical Society Series A 176 (2), pp. 459-479. ISSN 0964-1998.

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    The paper explores time variation in the distribution of firm level growth of total sales. Three novel results are reported. First, firms on the left-hand side of the distribution, i.e. firms that are growing more slowly or declining, are typically more responsive to aggregate shocks than those on the right-hand side of the distribution. Second, trending behaviour in the volatility of firm growth is predominantly driven by increasing dispersion in the growth of highly performing firms. Third, shifts in the probability mass on either side of the mode may act as important propagators of business fluctuations. Financial frictions emerge as a mechanism that is capable of accounting for these facts.


    Item Type: Article
    Keyword(s) / Subject(s): Asymmetric exponential power distribution, Business cycle, Corporate growth
    School: Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School
    Depositing User: Ivan Petrella
    Date Deposited: 28 May 2013 09:56
    Last Modified: 02 Aug 2023 17:04


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