Nie ma wersji polskiej
Marco Errico
- 3 September 2025
- WORKING PAPER SERIES - No. 3107Details
- Abstract
- Firms respond heterogeneously to aggregate fluctuations, yet standard linear models impose restrictive assumptions on firm sensitivities. Applying the Generalized Random Forest to U.S. firm-level data, we document strong nonlinearities in how firm characteristics shape responses to macroeconomic shocks. We show that nonlinearities significantly lower aggregate esponses, leading linear models to overestimate the economy’s sensitivity to shocks by up to 1.7 percentage points. We also find that larger firms, which carry disproportionate economic weight, exhibit lower sensitivities, leading to a median reduction in aggregate economic sensitivity of 52%. Our results highlight the importance of accounting for nonlinearities and firm heterogeneity when analyzing macroeconomic fluctuations and the transmission of aggregate shocks.
- JEL Code
- D22 : Microeconomics→Production and Organizations→Firm Behavior: Empirical Analysis
E32 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Business Fluctuations, Cycles
C14 : Mathematical and Quantitative Methods→Econometric and Statistical Methods and Methodology: General→Semiparametric and Nonparametric Methods: General
E5 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit