We propose a simple dynamical model for the formation of production networks among monopolistically competitive firms. The model subsumes the standard general equilibrium approach à la Arrow–Debreu but displays a wide set of potential dynamic behaviors. It robustly reproduces key stylized facts of firms׳ demographics. Our main result is that competition between intermediate good producers generically leads to the emergence of scale-free production networks. 相似文献
This paper investigates the extent of nonstationarity of beta across the firm size and the beta magnitude by suggesting the
sequential parameter stationarity model and estimating change-points of betas. The high-beta firm has shorter stationary interval,
which means that its beta changes more frequently than do the low-beta firm's. The firm size, however, does not have a monotonic
relation with the length of stationary interval. The small and large firms have relatively shorter stationary interval than
do the mid-sized firms. The average length of stationary interval is estimated about five years (exactly 54.19 months). This
fact could support the currently widely-used arbitrary 5-year assumption of beta stationarity. The fluctuation of the large
firm's beta is more severe than the small firm's, and the high- and low-beta firms have the relatively greater fluctuating
betas than do the mid-beta firms. The frequency of detected change-points is found to be positively related to market returns.
When the market return is high, the systematic risk changes more frequently, and vice versa. 相似文献
This paper examines three important issues related to the relationship between stock returns and volatility. First, are Duffee's (1995) findings of the relationship between individual stock returns and volatility valid at the portfolio level? Second, is there a seasonality of the market return volatility? Lastly, do size portfolio returns react symmetrically to the market volatility during business cycles? We find that the market volatility exhibits strong autocorrelation and small size portfolio returns exhibit seasonality. However, this phenomenon is not present in large size portfolios. For the entire sample period of 1962–1995, the highest average monthly volatility occurred in October, followed by November, and then January. Examining the two sub-sample periods, we find that the average market volatility increases by 15.4% in the second sample period of 1980–1995 compared to the first sample period of 1962–1979. During the contraction period, the average market volatility is 60.9% higher than that during the expansion period. Using a binary regression model, we find that size portfolio returns react asymmetrically with the market volatility during business cycles. This paper documents a strongly negative contemporaneous relationship between the size portfolio returns and the market volatility that is consistent with the previous findings at the aggregate level, but is inconsistent with the findings at the individual firm level. In contrast with the previous findings, however, we find an ambiguous relationship between the percentage change in the market volatility and the contemporaneous stock portfolio returns. This ambiguity is attributed to strongly negative contemporaneous and one-month ahead relationships between the market volatility and portfolio returns.
Low birth rates, longevity, family disintegration, and other factors have reduced the size of the average household. At the same time household size is shrinking, new housing offers twice the floor space per occupant of old housing. Small households are inefficient users of space, utilities, furniture, and equipment. As these factors converge, the result is over consumption of durables and vast stockpiles of possessions just awaiting disposal when the baby boom generation passes on. The rightful heirs to these possessions are themselves accumulators, and will most likely have little use for what is left to them. What does the future hold for consumption, savings, and demand for housing? Booming flea markets, bigger homes as warehouses, a decline in consumption, or an epidemic of display and collection? Public policies have limited leverage on private behavior. 相似文献
This paper starts from the stylized fact that firm size and exporting tends to be positively related. Using large sets of
establishment panel data for three different industries from official statistics, evidence is presented that the familiar
picture of an export/sales ratio that increases (at a decreasing rate) with firm size vanishes if unobserved firm heterogeneity
is controlled for in a fixed-effects fractional logit regression model. This finding is well in line with the fact that many
small firms are “hidden export champions.” JEL no. F10, D21, L60 相似文献