Idiosyncratic Volatility Shocks and Aggregate Fluctuations: An Appraisal of the Spanish Case
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comunitat-uji-handle2:10234/71324
comunitat-uji-handle3:10234/111700
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Título
Idiosyncratic Volatility Shocks and Aggregate Fluctuations: An Appraisal of the Spanish CaseAutoría
Tutor/Supervisor
Alfarano, SimoneTutor/Supervisor; Universidad.Departamento
Universitat Jaume I. Departament d'EconomiaFecha de publicación
2016-06-14Editor
Universitat Jaume IResumen
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. [-]
Palabras clave / Materias
Descripción
Treball Final de Grau en Economia. Codi: EC1049. Curs acadèmic 2015-2016
Tipo de documento
info:eu-repo/semantics/bachelorThesisDerechos de acceso
info:eu-repo/semantics/openAccess
Aparece en las colecciones
- Grau en Economia [289]
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