Idiosyncratic Volatility Shocks and Aggregate Fluctuations: An Appraisal of the Spanish Case
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Idiosyncratic Volatility Shocks and Aggregate Fluctuations: An Appraisal of the Spanish CaseAutoria
Tutor/Supervisor
Alfarano, SimoneTutor/Supervisor; Universitat.Departament
Universitat Jaume I. Departament d'EconomiaData de publicació
2016-06-14Editor
Universitat Jaume IResum
The aim of this work is to find empirical evidence, in case it exists, about the
granularity of the Spanish economy. The Granular Hypothesis (Gabaix 2011) has
been tested for Spain between the years 1990 and 2014. ... [+]
The aim of this work is to find empirical evidence, in case it exists, about the
granularity of the Spanish economy. The Granular Hypothesis (Gabaix 2011) has
been tested for Spain between the years 1990 and 2014. For this purpose I have
used a sample made up 31477 firms, for which I have taken three variables for each
company. These are: sales, number of employees and the SIC code.
First, I show that the firm’s size distribution is fat tailed. This fact is essential in
order to show that the idiosyncratic shocks do not cancel out. Therefore, the Law of
Large Numbers does not apply in this case. Second, I calculate the granular residual
in the sense of Gabaix (2011).
The main result obtained is that the top 100 largest firms in Spain account for one
third of the aggregate output variability, in line with the original result or Gabaix for
american firms. [-]
Paraules clau / Matèries
Descripció
Treball Final de Grau en Economia. Codi: EC1049. Curs acadèmic 2015-2016
Tipus de document
info:eu-repo/semantics/bachelorThesisDrets d'accés
info:eu-repo/semantics/openAccess
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- Grau en Economia [289]
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