Working Papers
Nonlinear dynamics of firm productivity - draft available soon
In models of heterogeneous firms the heterogeneity arises from idiosyncratic shocks to productivity. In the literature productivity is most commonly assumed to follow an AR(1) process. In this paper we estimate a flexible productivity process that allows for nonlinearities, non-Normality and age-dependence. Using estimated total factor productivity of firms in Compustat data we document novel features of productivity dynamics. Firstly persistence depends on current and previous levels of productivity as well as firm age. Secondly we find heterogeneity in variances of shocks to productivity across previous levels. Thirdly we find that shocks to productivity come from a probability distribution that is skewed and with high kurtosis and that the shape of the distribution changes over the firm's life-cycle. These features cannot be captured by the commonly assumed AR(1) process. The results indicate a potential importance of nonlinear dynamics of productivity in models of heterogeneous firms.
Lumpy investment over firms' life cycle - work in progress
It is well documented that firm-level investment is lumpy in nature. Firms have episodes of no or low investment and observations of bursts in investment. I document an important age dimension of this lumpiness among publicly listed firms in the US. Investment spikes are more likely among young firms and decrease gradually with age. In a model of firm investment I show the implications of this for the propagation of shocks. This novel fact of age dependent lumpyness in investment may prove important for policy aiming to boost investment.
In models of heterogeneous firms the heterogeneity arises from idiosyncratic shocks to productivity. In the literature productivity is most commonly assumed to follow an AR(1) process. In this paper we estimate a flexible productivity process that allows for nonlinearities, non-Normality and age-dependence. Using estimated total factor productivity of firms in Compustat data we document novel features of productivity dynamics. Firstly persistence depends on current and previous levels of productivity as well as firm age. Secondly we find heterogeneity in variances of shocks to productivity across previous levels. Thirdly we find that shocks to productivity come from a probability distribution that is skewed and with high kurtosis and that the shape of the distribution changes over the firm's life-cycle. These features cannot be captured by the commonly assumed AR(1) process. The results indicate a potential importance of nonlinear dynamics of productivity in models of heterogeneous firms.
Lumpy investment over firms' life cycle - work in progress
It is well documented that firm-level investment is lumpy in nature. Firms have episodes of no or low investment and observations of bursts in investment. I document an important age dimension of this lumpiness among publicly listed firms in the US. Investment spikes are more likely among young firms and decrease gradually with age. In a model of firm investment I show the implications of this for the propagation of shocks. This novel fact of age dependent lumpyness in investment may prove important for policy aiming to boost investment.
Publications in peer-reviewed journals from other fields
”How can discards in European fisheries be mitigated? Strengths, weaknesses, opportunities and threats of potential mitigation methods”,
with Sigridur Sigurdardottir, Harriet Condie et. al. (2015, Marine Policy).
”Discarded fish in European waters: general patterns and contrasts”,
with Sebastian S. Uhlmann, Aloysius T. M. van Helmond et. al. (2013, ICES Journal of Marine Science: Journal du Conseil).