利用大因子增广向量自回归方法分析上游、下游和常见企业冲击

IF 2.3 3区 经济学 Q2 ECONOMICS
Everett Grant, Julieta Yung
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引用次数: 0

摘要

我们通过从1989-2017年的美国股票中获得公司间网络和共同因素,评估了上游(供应商到用户)、下游(用户到供应商)和公司间共同因素冲击传递的作用。我们通过开发两种替代方法克服了估计大因素增强向量自回归(FAVAR)系统的计量经济学挑战:一种优先考虑计算效率,另一种提供所有模型参数和因素的完整后验分布。我们发现(i)共同因素驱动收益的方差份额增加,(ii)供应商冲击在股票价格变动中比下游风险敞口更明显,(iii)消除共同因素的影响对于揭示企业间联系越来越重要。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Analysis of Upstream, Downstream, and Common Firm Shocks Using a Large Factor-Augmented Vector Autoregressive Approach

We evaluate the roles of upstream (supplier-to-user), downstream (user-to-supplier), and common factor shock transmission across firms by deriving interfirm networks and common factors from US equities over 1989–2017. We overcome the econometric challenges of estimating the large factor-augmented vector autoregressive (FAVAR) system by developing two alternative approaches: one prioritizing computational efficiency and the other providing the full posterior distribution of all model parameters and factors. We find that (i) common factors drive an increasing variance share of returns, (ii) supplier shocks are more evident in equity price movements than downstream exposures, and (iii) removing the impact of common factors is increasingly important for revealing interfirm connections.

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来源期刊
CiteScore
3.70
自引率
4.80%
发文量
63
期刊介绍: The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.
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