Firm Volatility and Credit: A Macroeconomic Analysis (ICPSR 25062)

Version Date: Mar 11, 2009

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Principal Investigator(s):
Leo Kaas, University of Konstanz, and the Federal Reserve Bank of St. Louis

https://doi.org/10.3886/ICPSR25062.v1

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Summary

This paper examines a tractable real business cycle model with idiosyncratic productivity shocks and binding credit constraints on entrepreneurs. The model shows how firm volatility increases in combination with credit market development. It further generates the observed co-movement of credit and firm volatility with output at business cycle frequencies in response to aggregate productivity shocks.

Citation

Kaas, Leo. Firm Volatility and Credit: A Macroeconomic Analysis. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2009-03-11. https://doi.org/10.3886/ICPSR25062.v1

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Funding

Federal Reserve Bank of St. Louis

Subject Terms

Geographic Coverage

Distributor(s)

Inter-university Consortium for Political and Social Research
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Data Collection Notes

  1. The zipped package contains a Microsoft Excel file, which includes the data, tables, and figures used in the publication. GAUSS program syntax is also included.

  2. These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigators if further information is desired.

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Original Release Date

2009-03-11

Version History

2018-02-15 The citation of this study may have changed due to the new version control system that has been implemented. The previous citation was:
  • Kaas, Leo. Firm Volatility and Credit: A Macroeconomic Analysis. ICPSR25062-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2009-03-11. http://doi.org/10.3886/ICPSR25062.v1
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Notes

  • These data are flagged as replication datasets and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

  • The public-use data files in this collection are available for access by the general public. Access does not require affiliation with an ICPSR member institution.