Abel, A. (1983), “Optimal Investment under Uncertainty†, American Economic Review, 73,228-233.
Abel, A.B. and Eberly, J.C. (1996), Optimal Investment with Costly Reversibility, Review of Economic Studies, 63(4), 581-593.
- Arellano, C., Y. Bai, P. Kehoe, 2010, “Financial Markets and Fluctuations in Uncertainty†, Federal Reserve Bank of Minneapolis working paper.
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Bachmann, R. and Bayer, R. (2011), Uncertainty Business Cycles - Really?, NBER WP 16862.
- Bachmann, R. and Moscarini, G. (2010), Business Cycles and Endogenous Uncertainty, Yale mimeo.
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- Bachmann, R., Caballero, R.J. and Engel, E.M.R.A. (2008), Aggregate Implications of Lumpy Investment: New Evidence and a DSGE Model, Yale mimeo.
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- Baker. S., Bloom, N. and Davis, S. (2012), Measuring economics policy uncertainty, Stanford mimeo.
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Bartelsman, Eric J., Becker, Randy A. and Gray Wayne B. NBER-CES Manufacturing Industry Database, http://www.nber.org/nberces/nbprod96.htm Basu, S. and Bundick, B. (2011), Uncertainty Shocks in a Model of Eective Demand, Boston College WP 774.
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Bernanke, B. (1983), Irreversibility, Uncertainty and Cyclical Investment, Quarterly Journal of Economics, 98, 85-106.
Bertola, G. and Caballero, R.J. (1994), Irreversibility and Aggregate Investment, Review of Economic Studies, 61, 223-246.
Bertrand, M. (2004), From the Invisible Handshake to the Invisible Hand? How Import Competition Changes the Employment Relationship., Journal of Labor Economics, 22(4), 723-765.
Bloom, N. (2009), The Impact of Uncertainty Shocks, Econometrica, May 77, pp. 623-685..
Bloom, N., Bond, S. and Van Reenen, J. (2007), Uncertainty and Investment Dynamics, Review of Economic Studies, April, 74, pp. 391– 415..
Bloom, N., Draca, M. and Van Reenen, J. (2011), Trade Induced Technical Change? The Impact of Chinese Imports on Innovation, IT and productivity, NBER WP 16717.
- Brambilla, I., Khandewal, A. and Schott, P. (2010) “China’ s Experience under the Multi-Fiber Agreement (MFA) and the Agreement on Textile and Clothing (ATC)†, in Robert Feenstra and Shang-Jin Wei (eds) China’ s Growing Role in World Trade, Chicago: Chicago University Press.
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Caballero, R.J. and Engel, E.M.R.A (1999),Explaining Investment Dynamics in U.S. Manufacturing: a Generalized Ss Approach, Econometrica, 67(4), 783-826.
Campbell, J., Lettau, M., Malkiel B. and Xu, Y. (2001), Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk, Journal of Finance, 56(1), 1-43.
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- Collard-Wexler, Allan (2011), “Productivity Dispersion and Plant Selection in the Ready-Mix Concrete Industry†, working paper.
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Cooper, Russell, Haltiwanger, John, and Willis, Jonathan L. (2004), “Dynamics of Labor Demand: Evidence from Plant-Level Observations and Aggregate Implications, NBER Working Paper 10297.
- data using the Compustat CUSIP identi…er. The bridge includes a mapping (m:m) between FIRMID (which can be found in the CM and ASM) and CUSIP8 (which can be found in Compustat and CRSP). The bridge covers the years 1976 to 2005. To extend the bridge to the entire sample of our analysis (1972-2010), we assigned each FIRMID after 2001 to the last observed CUSIP8 and before 1976 to the …rst observed CUSIP843 . From the CRSP data set we obtain daily and monthly returns at the …rm level (RET). From Compustat we obtain …rm-level quarterly sales (SALEQ) as well as data on equity (SEQQ) and debt (DLTTQ and DLCQ) which is used to construct the leverage ratio (in book values).
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Dixit, A.K. and Pindyck, R.S. (1994), Investment Under Uncertainty, Princeton University Press, Princeton.
Engle, R.F. and Rangel, J.G. (2008), The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes, Review of Financial Studies, 21(3), 1187-1222.
Fernandez-Villaverde, J., Guerrón-Quintana, P. A., Kuester, K. and Rubio-Ramirez, J. (2011), Fiscal Volatility Shocks and Economic Activity, NBER Working Paper No. 17317.
- Fernandez-Villaverde, J., Guerrón-Quintana„ P., Rubio-Ramirez, J. and Uribe, M. (2009), Risk matters: the real eects of volatility shocks, Penn mimeo.
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- For annual frequency we add the ASM …les to the CM …les constructing a panel of establishments from 1972 to 2010 (using the LBDNUM identi…er).41 Starting 1973, the ASM is conducted every year in which a CM is not conducted. The ASM covers all establishments which were recorded in the CM above a certain size and a sample of the smaller establishments. The ASM includes 50,000 to 75,000 observations per year. Both the CM and the ASM provide detailed data on sales, value added, labor inputs, labor cost, cost of materials, capital expenditures, inventories and more. We give more details on the variables we use in the variables construction subsection below. A.1.2 Firm Level We use Compustat and CRSP to calculate volatility of sales and returns at the …rm level.42 The Compustat-SSEL bridge is used to match Census establishment data to Compustat and CRSP …rm’ s
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- For each 4-digit industry this variable stores the trade weighted proportion of product categories that were covered by a quota in 2005 by 4-digit industry categories.54 The instrument is then constructed as the interaction between the quota level and a dummy which takes the value of 1 for all years starting 2005. We limit the analysis to industries which are similar to the treated group, thus focusing on the textile and related industry (SIC codes 22, 23, 28 and 29, which were the 2-digit industries including sub-industries impacted by the quotas). We restrict the analysis to a 7-year window around the change (2002-2008).
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- Foster, L., Haltiwanger, J. and Krizan, C.J. (2000), Aggregate Productivity Growth: Lessons from Microeconomic Evidence, New Developments in Productivity Analysis, NBER, University of Chicago Press.
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Foster, L., Haltiwanger, J. and Krizan, C.J. (2006), Market Selection, Reallocation and Restructuring in the U.S. Retail: Trade Sector in the 1990s, Review of Economics and Statistics, 88, 748-758.
- Foster, L., Haltiwanger, J. and Syverson, C. (2008), Reallocation, Firm Turnover, and E ciency: Selection on Productivity or Pro…tability?â€American Economic Review, 98(1), 394-425.
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- Hartman, R. (1972), “The eect of price and cost uncertainty on Investment†, Journal of Economic Theory, 5, 258-266.
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- However, starting in 1997, the CM does not separately report capital stocks for equipment and structures. For plants which existed in 1992, we can use the investment data to back out capital stocks for equipment and structures separately after 1992. For plants born after 1992, we assign the share of capital stock to equipment and structures to match the share of investment in equipment and structures. A.3.4 TFP and TFP Shocks For establishment j in industry i at year t we de…ne value added based total factor productivity (TFP) b zj;i;t as log (b zj;i;t) = log(vj;i;t) S i;t log(kS j;i;t) E i;t log(kE j;i;t) N i;t log(nj;i;t); where vj;i;t denotes value added (output less materials and energy inputs), kS j;i;t represents the capital stock of structures, kE j;i;t represents the capital stock of equipment and nj;i;t the total hours worked as described above. S
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Kehrig, Matthias, (2011), The cyclicality of productivity dispersion, working paper.
Khan, A. and Thomas, J.K. (2003), Nonconvex factor adjustment in equilibrium business cycle models: do nonlinearities matter? Journal on Monetary Econometrica, 50, 331-360.
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- Our last sample (used in Figures 1 and 2), is based on the …rst sample, but includes only establishments that were active in 2005, 2006, 2008 and 2009. When calculating annual dispersion measures using CRSP and Compustat (see Table 1), we use the same sampling criteria as in the baseline ASM-CM sample, keeping only …rms which appear for at least 25 years. A.3 Variable Construction A.3.1 Value Added We use the Census value added measure which is de…ned for establishment j at year t as vj;t = Qj;t Mj;t Ej;t; where Qj;t is nominal output, Mj;t is cost of materials and Ej;t is cost of energy and fuels. Nominal output is calculated as the sum of total value of shipments and the change in inventory from previous year (both …nished inventory and work in progress inventory). In most of the analysis we use real value added. In this case, we de‡ ate value added by the 4-digit industry price of shipment (PISHIP) given in the NBER-CES data set.
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Panousi, V. and Papanikolaou, D. (2011), Investment, Idiosyncratic Risk, and Ownership, forthcoming, Journal of Finance.
Petrosky-Nadeau, N. and Wasmer, E. (2012), The Cyclical Volatility of Labor Markets under Frictional Financial Markets, Carnegie Mellon University mimeo.
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- Textile Quotas Instrument: The relaxation of quotas for China started when it joined the WTO in 2001, and peaked in 2005 when the quotas were completely removed. The removal of the quotas generated an increase in the imports of Chinese goods in the categories for which the quotas were removed. We use the 2005 quota variable constructed by Bloom, Draca, and Van Reenen (2011).
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- The fourth sample uses a balanced panel of establishments which were active for all years between 1972 and 2009. This sample consists of 3,449 establishments and 127,182 establishment-year observations.
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- The NBER-CES data are available only through 2009. 2010 industry-level data are therefore projected using an AR(4) regression for all external datasets. See http://www.bls.gov/mfp/mprdload.htm. See http://www.bea.gov/national/FA2004/SelectTable.asp. See http://www.federalreserve.gov/releases/G17/Current/default.htm.
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- The NBER-CES Manufacturing Industry Database is the main source for industry-level price indices for total value of shipments (PISHIP), and capital expenditures (PIINV).44 It is also the main source for industry-level total cost of inputs for labor (PAY). The total cost variable is used in the construction of industry cost shares. We match the NBER data to the establishment data using 4-digit SIC87 codes for the years 1972-1996 and 6-digit NAICS codes starting 1997.45 We complete our set of price indices using FRB capital investment de‡ ators, with separate de‡ ators for equipment and structures, kindly provided to us by Randy Becker.
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- The second sample, which is our baseline sample, keeps establishments which appear for at least 25 years between 1972 and 2009. This sample consists of 15,673 establishments and 453,704 establishment-year observations.52 The third sample we use is based on the baseline sample limited to establishments for which …rms have CRSP and Compustat records, with nonmissing values for stock returns, sales, equity and debt. The sample includes 10,498 establishments with 172,074 establishment-year observations.
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- This is available in an ECB press release from December 31, 1998, available at http://www.ecb.int/press/pr/date/1998/html/pr981231_2.en.html.
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Thomas, J.K. (2002), Is Lumpy Investment Relevant for the Business Cycle?, Journal of Political Economy, 110(3), 508-534.
Van Nieuwerburgh, S. and Veldkamp, L. (2006),Learning asymmetries in real business cycles, Journal of Monetary Economics, 53(4), 753-772.
Veldkamp, L. (2005),Slow boom, sudden crash, Journal of Economic Theory, 124(2), 230-257.
Veracierto, M.L. (2002),Plant Level Irreversible Investment and Equilibrium Business Cycles, American Economic Review, 92(1), 181-197.
- We do this assignment for 2002-2005, since the bridge has many missing matches for these years. import-export data and industrial production.
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