Idiosyncratic Shocks and Aggregate Fluctuations in an Emerging Market /

This paper provides the first assessment of the contribution of idiosyncratic shocks to aggregate fluctuations in an emerging market using confidential data on the universe of Chilean firms. We find that idiosyncratic shocks account for more than 40 percent of the volatility of aggregate sales. Alth...

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Bibliografske podrobnosti
Glavni avtor: Grigoli, Francesco
Drugi avtorji: Luttini, Emiliano, Sandri, Damiano
Format: Revija
Jezik:English
Izdano: Washington, D.C. : International Monetary Fund, 2021.
Serija:IMF Working Papers; Working Paper ; No. 2021/289
Teme:
Online dostop:Full text available on IMF
Opis
Izvleček:This paper provides the first assessment of the contribution of idiosyncratic shocks to aggregate fluctuations in an emerging market using confidential data on the universe of Chilean firms. We find that idiosyncratic shocks account for more than 40 percent of the volatility of aggregate sales. Although quite large, this contribution is smaller than documented in previous studies based on advanced economies, despite a higher degree of market concentration in Chile.We show that this finding is explained by larger firms being less volatile and by weaker propagation effects across Chilean firms.
Opis knjige/članka:<strong>Off-Campus Access:</strong> No User ID or Password Required
<strong>On-Campus Access:</strong> No User ID or Password Required
Fizični opis:1 online resource (20 pages)
Format:Mode of access: Internet
ISSN:1018-5941
Dostop:Electronic access restricted to authorized BRAC University faculty, staff and students