Factoring in the Micro: A Transaction‐Level Dynamic Factor Approach to the Decomposition of Export Volatility

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-09-12 DOI:10.1111/obes.12639

Angelo Cuzzola, Matteo Barigozzi, Marco Grazzi, Daniele Moschella

引用次数: 0

Abstract

This paper analyzes the export volatility sources estimating a dynamic factor model on transaction‐level data. Utilizing an exhaustive dataset of French export transactions from 1993 to 2017, we reconstruct the latent factors space associated with global and destination‐specific macroeconomic shocks through a Quasi‐Maximum likelihood approach which allows accommodating both the high share of missing values and the high dimensionality of the microeconomic time series. The estimated parameters are then used to derive a volatility decomposition of the aggregate and firm‐level export growth rates, highlighting structural spatial patterns and the role of geographical diversification in mitigating export risks.

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微观因素：分解出口波动的交易级动态因素法

本文通过对交易层面数据的动态因素模型进行估计，分析了出口波动来源。利用 1993 年至 2017 年法国出口交易的详尽数据集，我们通过准极大似然法重建了与全球和特定目的地宏观经济冲击相关的潜在因素空间，这种方法可以同时适应高比例的缺失值和微观经济时间序列的高维性。然后，利用估算出的参数对总体和企业层面的出口增长率进行波动性分解，突出结构性空间模式和地理多样化在降低出口风险方面的作用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.