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Seminar: Stijn Van Nieuwerburgh, New York University

31 Jan 2014 10:00
to
11:30
Bronfman Building : Room 002, 1001 rue Sherbrooke Ouest Montreal Quebec Canada , H3A 1G5

Firm Volatility in Granular Networks 

Stijn Van Nieuwerburgh
New York University

Date: January 31, 2014
Time: 10:00 am - 11:30 am
Location: Room 002, Bronfman Building 

Abstract: 

We propose a network model of firm volatility in which the customers' growth rate shocks influence the growth rates of their suppliers, larger suppliers have more customers, and the strength of a customer-supplier link depends on the size of the customer firm. Even though all shocks are i.i.d., the network model produces firm-level volatility and size distribution dynamics that are consistent with the data. In the cross section, larger firms and firms with less concentrated customer networks display lower volatility. Over time, the volatilities of all firms co-move strongly, and their common factor is concentration of the economy-wide firm size distribution. Network effects are essential to explaining the joint evolution of the empirical firm size and firm volatility distributions.

For more information, please contact Karen Robertson at: karen [dot] robertson [at] mcgill [dot] ca

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