scholarly journals Market Exposure and Endogenous Firm Volatility over the Business Cycle

2016 ◽  
Vol 8 (1) ◽  
pp. 148-198 ◽  
Author(s):  
Ryan A. Decker ◽  
Pablo N. D'Erasmo ◽  
Hernan Moscoso Boedo
Keyword(s):  
Theoretical Model ◽  
Business Cycle ◽  
Total Factor Productivity ◽  
Factor Productivity ◽  
Firm Level ◽  
Productivity Shocks ◽  
Demand Shocks ◽  
The Business Cycle ◽  
Total Factor Productivity Shocks

We propose a theory of endogenous firm-level risk over the business cycle based on endogenous market exposure. Firms that reach a larger number of markets diversify market-specific demand shocks at a cost. The model is driven only by total factor productivity shocks and captures the observed countercyclity of firm-level risk. Using a panel of US firms we show that, consistent with our theoretical model, measures of market reach are procyclical, and the counter-cyclicality of firm-level risk is driven by those firms that adjust their market exposure, which are larger than those that do not. (JEL D21, D22, E23, E32, L25)

scholarly journals Can News about the Future Drive the Business Cycle?

2009 ◽  
Vol 99 (4) ◽  
pp. 1097-1118 ◽  
Author(s):  
Nir Jaimovich ◽  
Sergio Rebelo
Keyword(s):  
Adjustment Costs ◽  
Wealth Effects ◽  
Factor Productivity ◽  
News Shocks ◽  
Productivity Shocks ◽  
Macroeconomic Models ◽  
Short Run ◽  
The Business Cycle ◽  
Litmus Test ◽  
Total Factor Productivity Shocks

Aggregate and sectoral comovement are central features of business cycles, so the ability to generate comovement is a natural litmus test for macroeconomic models. But it is a test that most models fail. We propose a unified model that generates aggregate and sectoral comovement in response to contemporaneous and news shocks about fundamentals. The fundamentals that we consider are aggregate and sectoral total factor productivity shocks as well as investment-specific technical change. The model has three key elements: variable capital utilization, adjustment costs to investment, and preferences that allow us to parameterize the strength of short-run wealth effects on the labor supply. (JEL E13, E20, E32)

Technological Innovation, Intangible Capital, and Asset Prices

2019 ◽  
Vol 11 (1) ◽  
pp. 221-242 ◽  
Author(s):  
Leonid Kogan ◽  
Dimitris Papanikolaou
Keyword(s):  
Human Capital ◽  
Asset Pricing ◽  
Total Factor Productivity ◽  
Technological Innovation ◽  
Intangible Capital ◽  
Factor Productivity ◽  
Productivity Shocks ◽  
Total Factor Productivity Shocks ◽  
Financial Securities

We review research on the asset pricing implications of models with innovation and intangible capital. In these models, technological innovation shocks propagate differently than standard total factor productivity shocks—and therefore have qualitatively distinct asset pricing implications. We discuss recent approaches to measuring intangible capital and innovation, many of which rely on the prices of financial securities. Last, we review models that explore the economic differences between intangible and innovation relative to other forms of investments—focusing on the role of human capital and cash-flow appropriability.

scholarly journals Economic size of farms and adjustments of the total factor productivity to the business cycle in Polish agriculture  

2017 ◽  
Vol 63 (No. 2) ◽  
pp. 93-102
Author(s):  
 Czyzewski Bazyli ◽  
 Majchrzak Adam
Keyword(s):  
Business Cycle ◽  
Total Factor Productivity ◽  
Large Scale ◽  
Developed Countries ◽  
Factor Productivity ◽  
Input Output ◽  
The Real ◽  
Agricultural Income ◽  
The Business Cycle ◽  
Economic Size

The article presents an approach to changes in the total factor productivity (TFP) which differs from that generally found in the literature. Changes are calculated in the real terms using the detailed input-output matrices for representative farms in Poland, for different economic size classes, in the years 2007–2013. Input-output matrices were used for the decomposition of the Hicks-Moorsteen TFP index. The goal is to evaluate changes in the real TFP in the downturn and recovery phases of the business cycle in agriculture. It was found that the reaction of TFP to business cycle changes on “small”, “medium” and even “large” family farms in Poland is diametrically opposite to that observed in the case of large-scale farms. More than 90% of farms in Poland (except for the largest) increase technical productivity in the conditions of the economic downturn and lower it in the conditions of the economic recovery. Such behaviour is pro-cyclic and irrational, alluding to the 17th-century King’s effect, which is vanishing in the agricultural systems of highly developed countries. The hypothesis is proposed that the size of the price expectation error which causes that effect is negatively correlated with the economic size of the farm, but at the same time it is proportional to the percentage of agricultural income obtained from subsidies and other payments under the SAPS system.  

Impact of Determinants of Industrial Development on Employment and Wages in Indian Manufacturing

2020 ◽  
pp. 18-30
Keyword(s):  
Technical Efficiency ◽  
Total Factor Productivity ◽  
Technical Change ◽  
Positive Impact ◽  
Manufacturing Sector ◽  
Factor Productivity ◽  
Firm Level ◽  
Employment Level ◽  
The Impact ◽  
Level Performance

ABSTRACT The present study was undertaken to explore the evolution of the impact of firm-level performance on employment level and wages in the Indian organized manufacturing sector over the period 1989-90 to 2013-14. One of the major components of the economic reform package was the deregulation and de-licensing in the Indian organized manufacturing sector. The impact of firm-level performance on employment and wages were estimated for Indian organized manufacturing sector in major sub-sectors in India during the period from 1989-90 to 2013-14 of the various variables namely profitability ratio, total factor productivity change, technical change, technical efficiency, openness (export-import), investment intensity, raw material intensity and FECI in total factor productivity index, technical efficiency, and technical change. The study exhibited that all explanatory variables except profitability ratio and technical change cost had a positive impact on the employment level. Out of eight variables, four variables such as net of foreign equity capital, investment intensity, TFPCH, and technical efficiency change showed a positive impact on wages and salary ratio and rest of the four variables such as openness intensity, technology acquisition index, profitability ratio, and technical change had negative impact on wages and salary ratio. In this context, the profit ratio should be distributed as per the marginal rule of economics such as the marginal productivity of labour and capital.

scholarly journals Asset Returns, the Business Cycle and the Labor Market

2013 ◽  
Vol 14 (3) ◽  
pp. 372-397 ◽  
Author(s):  
Burkhard Heer ◽  
Alfred Maußner
Keyword(s):  
Labor Market ◽  
Business Cycle ◽  
Equity Premium ◽  
Working Hours ◽  
New Keynesian ◽  
Monetary Shocks ◽  
Productivity Shocks ◽  
New Keynesian Models ◽  
The Business Cycle ◽  
Sticky Wages

Abstract We review the labor market implications of recent real-business cycle and New Keynesian models that successfully replicate the empirical equity premium. We document the fact that all models reviewed in this article that do not feature either sticky wages or immobile labor between two production sectors as in Boldrin et al. (2001) imply a negative correlation of working hours and output that is not observed empirically. Within the class of Neo-Keynesian models, sticky prices alone are demonstrated to be less successful than rigid nominal wages with respect to the modeling of the labor market stylized facts. In addition, monetary shocks in these models are required to be much more volatile than productivity shocks to match statistics from both the asset and labor market.

Evaluation of Firm Performances in Emerging Markets

2020 ◽  
pp. 329-354
Author(s):  
Seda Ekmen Özçelik
Keyword(s):  
Emerging Markets ◽  
Total Factor Productivity ◽  
Labor Productivity ◽  
Value Added ◽  
Factor Productivity ◽  
Firm Level ◽  
Average Value ◽  
The World Bank ◽  
The World ◽  
Enterprise Surveys

This chapter provides basic understanding of firm performance in emerging markets by focusing on labor productivity and total factor productivity. In the study, labor productivity is measured in terms of average value added per worker. Total factor productivity is obtained from estimations of Cobb-Douglas production function where value added is a function of labor and capital. Data is obtained from the firm-level Enterprise Surveys by the World Bank. According to the results, differences in average labor productivities are significant among the sectors within each emerging region. Also, the value of factor elasticities changes across sectors as well as across regions. Moreover, the elasticity of capital is lower than the elasticity of labor for all sectors in regions. It implies that labor plays a more significant role and the firms are operating in a more labor-intensive production process in emerging markets.

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