Angelo Cuzzola, Matteo Barigozzi, Marco Grazzi, Daniele Moschella
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Factoring in the Micro: A Transaction‐Level Dynamic Factor Approach to the Decomposition of Export Volatility
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.
期刊介绍：
Whilst the Oxford Bulletin of Economics and Statistics publishes papers in all areas of applied economics, emphasis is placed on the practical importance, theoretical interest and policy-relevance of their substantive results, as well as on the methodology and technical competence of the research.
Contributions on the topical issues of economic policy and the testing of currently controversial economic theories are encouraged, as well as more empirical research on both developed and developing countries.
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