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Temporal disaggregation of business dynamics: New evidence for U.S. economy

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Temporal disaggregation of business dynamics : New evidence for U.S. economy . / Rossi, L.; Zanetti Chini, E.

In: Journal of Macroeconomics, Vol. 69, 103337, 30.09.2021.

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Rossi, L. ; Zanetti Chini, E. / Temporal disaggregation of business dynamics : New evidence for U.S. economy . In: Journal of Macroeconomics. 2021 ; Vol. 69.

Bibtex

@article{2de13f5dabaa45b29317d772b5d24db6,
title = "Temporal disaggregation of business dynamics: New evidence for U.S. economy ",
abstract = "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. ",
keywords = "Bayesian VAR, Entry and Exit, Factor models, Overshooting, Variable selection",
author = "L. Rossi and {Zanetti Chini}, E.",
year = "2021",
month = sep,
day = "30",
doi = "10.1016/j.jmacro.2021.103337",
language = "English",
volume = "69",
journal = "Journal of Macroeconomics",
issn = "0164-0704",
publisher = "Elsevier BV",

}

RIS

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 -