Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Temporal disaggregation of business dynamics
T2 - New evidence for U.S. economy
AU - Rossi, L.
AU - Zanetti Chini, E.
PY - 2021/9/30
Y1 - 2021/9/30
N2 - We provide new disaggregated data and stylized facts on firm dynamics of the U.S economy at establishment level by using a state-space method to transform Census yearly data of entry and exit from 1977 to 2013 into quarterly frequency. We select the most significant determinants of these variables by matching Census data with a new database by Federal Reserve Bank. These determinants are extrapolated by using an unobserved factor model whose loadings are estimated via Principal Component Analysis. Alternative sources and their data are also investigated and discussed. We find that (i) Entry is pro-cyclical, coincident and symmetric; (ii) Exit is lagging with a maximum positive correlation with RGDP at lag 5 and asymmetric along the business cycle; (iii) the standard macroeconometric models estimated on our disaggregated series support the recent theoretical literature.
AB - We provide new disaggregated data and stylized facts on firm dynamics of the U.S economy at establishment level by using a state-space method to transform Census yearly data of entry and exit from 1977 to 2013 into quarterly frequency. We select the most significant determinants of these variables by matching Census data with a new database by Federal Reserve Bank. These determinants are extrapolated by using an unobserved factor model whose loadings are estimated via Principal Component Analysis. Alternative sources and their data are also investigated and discussed. We find that (i) Entry is pro-cyclical, coincident and symmetric; (ii) Exit is lagging with a maximum positive correlation with RGDP at lag 5 and asymmetric along the business cycle; (iii) the standard macroeconometric models estimated on our disaggregated series support the recent theoretical literature.
KW - Bayesian VAR
KW - Entry and Exit
KW - Factor models
KW - Overshooting
KW - Variable selection
U2 - 10.1016/j.jmacro.2021.103337
DO - 10.1016/j.jmacro.2021.103337
M3 - Journal article
VL - 69
JO - Journal of Macroeconomics
JF - Journal of Macroeconomics
SN - 0164-0704
M1 - 103337
ER -