Do we need firm data to understand macroeconomic dynamics?

Michele Lenza and Ettore Savoia

We study the role of heterogeneity in the revenues of individual firms for euro area macroeconomic dynamics. To this end, we specify two models: a standard aggregate vector autoregressive model (VAR) and an "heterogeneous VAR" (HVAR). The VAR model includes only aggregate data, while the HVAR model also incorporates the feedback loop between firms' revenue distribution and aggregate variables. Our results demonstrate that the behavior of firms' revenue distribution plays a significant role in explaining the dynamics of key euro area macroeconomic variables.

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Year of publication:	July 2024
Authors:	Lenza, Michele ; Savoia, Ettore
Publisher:	Stockholm : Sveriges Riksbank
Subject:	Firm-level revenues \| Functional Vector Autoregressions \| Heterogeneous Agent Models \| Business Cycle fluctuations \| VAR-Modell \| VAR model \| Konjunktur \| Business cycle \| Konjunkturtheorie \| Business cycle theory \| Schätzung \| Estimation

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Extent:	1 Online-Ressource (circa 25 Seiten) Illustrationen
Series:	Sveriges Riksbank working paper series. - Stockholm : [Verlag nicht ermittelbar], ZDB-ID 2235780-4. - Vol. 438
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	hdl:10419/301978 [Handle]
Classification:	C11 - Bayesian Analysis ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; c54 ; E22 - Capital; Investment (including Inventories); Capacity ; E32 - Business Fluctuations; Cycles
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014634826