The cross-sectional dynamics of the US business cycle: 1950–1999

✍ Scribed by C. Higson; S. Holly; P. Kattuman

• Publisher: Elsevier Science
• Year: 2002
• Tongue: English
• Weight: 267 KB
• Volume: 26
• Category: Article
• ISSN: 0165-1889
• DOI: 10.1016/s0165-1889(01)00084-7

✦ Synopsis

Modern interest in business cycles has focussed on the co-movements and correlations in the major macroeconomic aggregates. In this paper we o er another dimension to business cycle analysis which looks at the time series of cross-sectional distributions of the growth rates of sales by US quoted companies from 1950 to 1999. We detect correlations between aggregate business cycle uctuations and the higher moments of the cross-sectional distribution. We ÿnd a signiÿcant negative correlation between the rate of growth of gdp and the cross-sectional variance and skewness of growth rates of sales. On the other hand there is positive correlation, at business cycle frequencies with kurtosis. In order to explore this further we turn to the dynamic evolution of ÿrms and analyse the sensitivity of growth rates to aggregate shocks conditioning on ÿrm size. The results suggest that despite considerable heterogeneity macroeconomic shocks have pervasive e ects that are, however, more pronounced for ÿrms in the middle range of growth. This has implications for both macro and industrial economics.