Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/300454 
Year of Publication: 
2024
Series/Report no.: 
Staff Report No. 1088
Publisher: 
Federal Reserve Bank of New York, New York, NY
Abstract: 
This paper presents empirical evidence on the nature of idiosyncratic shocks to firms and discusses its role for firm behavior and aggregate fluctuations. We document that firm-level sales and productivity are hit by heavy-tailed shocks and follow a nonlinear stochastic process, thus departing from the canonical linear. We estimate a state-of-the-art model to flexibly capture the rich dynamics uncovered in the data and characterize the drivers of nonlinear persistence and non-Gaussian shocks. We show that these features are crucial to get empirically plausible volatility and persistence of micro-originated (granular) aggregate fluctuations.
Subjects: 
firm dynamics
productivity
nonlinearities
non-Gaussian shocks
granular fluctuations
JEL: 
D22
E23
E32
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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