1,257 research outputs found
Firm-specific productivity risk over the business cycle: facts and aggregate implications
Is time-varying firm-level uncertainty a major cause or amplifier of the business cycle? This paper investigates this question in the context of a heterogeneousfirm RBC model with persistent firm-level productivity shocks and lumpy capital adjustment, where cyclical changes in uncertainty correspond naturally to cyclical changes in the cross-sectional dispersion of firm-specific Solow residual innovations. We use a unique German firm-level data set to investigate the extent to which firm-level uncertainty varies over the cycle. This allows us to put empirical discipline on our numerical simulations. We find that, while firm-level uncertainty is indeed countercyclical, it does not fluctuate enough to significantly alter the dynamics of an RBC model with only first moment shocks. The mild changes we do find are mainly caused by a bad news effect: higher uncertainty today predicts lower aggregate Solow residuals tomorrow. This effect dominates the real option value effect of time-varying uncertainty, highlighted in the literature. --Ss model,RBC model,lumpy investment,countercyclical risk,aggregate shocks,idiosyncratic shocks,heterogeneous firms,news shocks,uncertainty shocks.
The cross-section of firms over the business cycle: new facts and a DSGE exploration
Using a unique German firm-level data set, this paper is the first to jointly study the cyclical properties of the cross-sections of firm-level real value added and Solow residual innovations, as well as capital and employment adjustment. We find two new business cycle facts: 1) The cross-sectional standard deviation of firm-level innovations in the Solow residual, value added and employment is robustly and significantly countercyclical. 2) The cross-sectional standard deviation of firm-level investment is procyclical. We show that a heterogeneousfirm RBC model with quantitatively realistic countercyclical innovations in the firm-level Solow residual and non-convex adjustment costs calibrated to the non-Gaussian features of the steady state investment rate distribution, produces investment dispersion that positively comoves with the cycle, with a correlation coefficient of 0.65, compared to 0.61 in the data. We argue more generally that the cross-sectional business cycle dynamics impose tight empirical restrictions on structural parameters and stochastic properties of driving forces in heterogeneousfirmmodels, and are therefore paramount in the calibration of these models. --Ss model,RBC model,cross-sectional firm dynamics,lumpy investment,countercyclical risk,aggregate shocks,idiosyncratic shocks,heterogeneous firms.
The Cross-section of Firms over the Business Cycle: New Facts and a DSGE Exploration
Using a German firm-level data set, this paper is the first to jointly study the cyclical properties of the cross-sections of firm-level real value added and Solow residual innovations, as well as capital and employment adjustment. We find two new business cycle facts: 1) The cross-sectional standard deviation of firm-level innovations in the Solow residual, value added and employment is robustly and significantly countercyclical. 2) The cross-sectional standard deviation of firm-level investment is procyclical. We show that a heterogeneous-firm RBC model with quantitatively realistic countercyclically disperse innovations in the firm-level Solow residual and non-convex adjustment costs calibrated to the non-Gaussian features of the steady state investment rate distribution, produces investment dispersion that positively comoves with the cycle, with a correlation coefficient of 0.58, compared to 0.45 in the data. We argue more generally that the cross-sectional business cycle dynamics impose tight empirical restrictions on structural parameters and stochastic properties of driving forces in heterogeneous-firm models, and are therefore paramount in the calibration of these models.Ss model, RBC model, cross-sectional firm dynamics, lumpy investment, countercyclical risk, aggregate shocks, idiosyncratic shocks, heterogeneous firms
Firm-Specific Productivity Risk over the Business Cycle: Facts and Aggregate Implications
Is time-varying firm-level uncertainty a major cause or amplifier of the business cycle? This paper investigates this question in the context of a heterogeneous-firm RBC model with persistent firm-level productivity shocks and lumpy capital adjustment, where cyclical changes in uncertainty correspond naturally to cyclical changes in the cross-sectional dispersion of firm-specific Solow residual innovations. We use a German firm-level data set to investigate the extent to which firm-level uncertainty varies over the cycle. This allows us to put empirical discipline on our numerical simulations. We find that, while firm-level uncertainty is indeed countercyclical, it does not fluctuate enough to significantly alter the dynamics of an RBC model with only first moment shocks. The mild changes we do find are mainly caused by a bad news effect: higher uncertainty today predicts lower aggregate Solowresiduals tomorrow. This effect dominates the real option value effect of time-varying uncertainty, highlighted in the literature.Ss model, RBC model, lumpy investment, countercyclical risk, aggregate shocks, idiosyncratic shocks, heterogeneous firms, news shocks, uncertainty shocks
Firm-specific productivity risk over the business cycle : facts and aggregate implications
Is time-varying firm-level uncertainty a major cause or amplifier of the business cycle? This paper investigates this question in the context of a heterogeneous-firm RBC model with persistent firm-level productivity shocks and lumpy capital adjustment, where cyclical changes in uncertainty correspond naturally to cyclical changes in the cross-sectional dispersion of firm-specific Solow residual innovations. We use a German firm-level data set to investigate the extent to which firm-level uncertainty varies over the cycle. This allows us to put empirical discipline on our numerical simulations. We find that, while firm-level uncertainty is indeed countercyclical, it does not fluctuate enough to significantly alter the dynamics of an RBC model with only first moment shocks. The mild changes we do find are mainly caused by a bad news effect: higher uncertainty today predicts lower aggregate Solowresiduals tomorrow. This effect dominates the real option value effect of time-varying uncertainty, highlighted in the literature
Stellenwert farbdopplersonographischer Befunde in der (Differential-)Diagnose fokaler Milzläsionen: eine retrospektive Studie
Fokale Läsionen der Milz sind extrem selten und
werden im Patientengut eines internistischen Ultraschall-Labors
mit einer Häufigkeit von etwa 0,2 % bis 0,46 % beobachtet. Eine
ätiologische Zuordnung ist häufig schwierig und erst in
Verbindung mit klinischen Daten und dem sonographischen Verlauf
möglich. Der Stellenwert der FKDS in der ätiologischen
Zuordnung von fokalen Milzherden ist bisher unklar und wird
kritisch beurteilt. Zu dieser Fragestellung liegen bisher keine
methodenvergleichenden Studien vor. Zudem existieren keine
umfassenden Daten zu FKDS-Befunden bei fokalen Milzläsionen.
In der vorliegenden Arbeit wurden retrospektiv die Flußmuster
98 ätiologisch gesicherter fokaler Milzläsionen in der FKDS
charakterisiert. Weiter wurde anhand der Ultraschallbilder von
63 Patienten, die von unterschiedlich erfahrenen Befundern
ausgewertet wurden, ein Methodenvergleich zwischen
B-Mode-Sonographie und FKDS angestellt.
Die Ergebnisse der
Arbeit können wie folgt zusammengefaßt werden:
Es konnte
gezeigt werden, daß ca. 68 % der fokalen Milzläsionen sich in
der farbkodierten Duplexsonographie bzw.
Power-Doppler-Sonographie mit fehlendem Flußsignal
präsentierten. 15 % erschienen hypovaskularisiert, 8 %
isovaskularisiert, 5 % wiesen ein hypervaskuläres Flußmuster
auf und 3 % zeigten ein arteriovenöses Flußmuster.
In der
Darstellung des Flußsignals zeigte sich ein Unterschied
zwischen den verwendeten Ultraschallgeräten: Mit neuerer
Gerätechnik (ACUSON Sequoia) sank der Anteil als avaskulär
detektierter Läsionen von 72,8 % (ACUSON 128) auf 63,2 %.
Die
diagnostische Treffsicherheit bei der Diagnose fokaler
Milzläsionen im Ultraschall war sowohl in der
B-Mode-Sonographie als auch in der FKDS von der Erfahrung des
Befunders abhängig, d.h. erfahrene Befunder erzielten bessere
Ergebnisse. Die diagnostische Treffsicherheit betrug beim
unerfahrensten Befunder 32 % im B-Mode bzw. 35 % in der FKDS;
die Werte des erfahrensten Befunders lagen bei 72 % (B-Mode)
bzw. 75 % (FKDS).
Im Gegensatz dazu wurde von den Befundern in
39,7 % bis 88,9 % der Fälle eine FKDS-Sonographie für die
Diagnosesicherung für notwendig gehalten.
Es konnte gezeigt
werden, daß die durch die FKDS erhobenen zusätzlichen
Informationen unabhängig von der Erfahrung der Befunder keine
signifikante Verbesserung der diagnostischen Treffsicherheit
(Veränderung zwischen ? 1,6 % und + 4,8 %) erbrachten.
Der Stellenwert der FKDS für eine Diagnosesicherung wurde somit
von den Befundern überschätzt. Die Bedeutung der FKDS in der
(Differential-)Diagnose fokaler Milzläsionen ist insgesamt als
niedrig einzuschätzen. Ein routinemäßiger Einsatz der FKDS im
Rahmen der Sonographie der Milz ist nicht notwendig. Bei
speziellen Fragestellungen wie Ausschluß bzw. Diagnose eines
AV-Aneurysmas ermöglicht die FKDS eine rasche und sichere
Diagnose.
Möglicherweise wird die kontrastmittelunterstützte
Sonographie die diagnostische Treffsicherheit bei fokalen
Milzläsionen erhöhen
Uncertainty Business Cycles - Really?
Are fluctuations in firms’ profitability risk a major cause of regular business cycles? We study this question within the framework of a heterogeneous-firm dynamic stochastic general equilibrium model with fixed capital adjustment costs. In such a model, surprise increases of risk lead to a wait-and-see policy for investment at the firm level and a decrease in aggregate economic activity. We calibrate the model using German firm-level data with a broader sectoral, size and ownership coverage than comparable U.S. data sets. The use of these data enables us to provide robust lower and upper bound estimates for the size of firm-level risk fluctuations. We find that time-varying firm-level risk on its own is unlikely to be a major quantitative source of regular business cycle fluctuations. When we augment a model with only aggregate productivity shocks by time-varying risk, the risk shocks dampen the high contemporaneous correlations of the productivity-shock-only model, but do not alter the other unconditional business cycle properties.
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