Aggregate Fluctuations from Clustered Micro Shocks 2022-12-04
Subject：Aggregate Fluctuations from Clustered Micro Shocks
Guest：Daisoon Kim, Assistant Professor, North Carolina State University
Host：Yuta SUZUKI, Assistant Professor, ACEM, SJTU
Time：Wednesday, December 7, 2022 10:00-11:30
Venue：Antai B716 (Zoom)
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Idiosyncratic shocks to individual firms affect aggregates when they are correlated. In this case, a firm’s cross-sectionally demeaned fluctuations (a) are a poor proxy for measuring true idiosyncratic shocks and (b) have negligible cross-firm correlation by construction, regardless of true correlation. This paper proposes a way to calculate a range of the contribution of idiosyncratic comovements across firms within industries to aggregate fluctuations, “clustered origins”, from observed data. In the US, clustered origins can explain GDP volatility and its evolution. The contribution of clustered origins to GDP volatility increased from around 10% to 25% over the past two decades. These findings suggest networks and interconnections between firms deserve a central place in macroeconomics.
Daisoon Kim, Assistant Professor of NC State University, originally from the Republic of Korea, focuses his research on international economics and macroeconomics fields. He received his doctorate degree in economics from the University of Washington. His previous role was at the London Business School in the UK as a research fellow.