Idiosyncratic Shocks and Aggregate Fluctuations in an Emerging Market

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Idiosyncratic Shocks and Aggregate Fluctuations in an Emerging Market is written by Mr. Francesco Grigoli and published by International Monetary Fund. It's available with International Standard Book Number or ISBN identification 1616354895 (ISBN 10) and 9781616354893 (ISBN 13).

This paper provides the first assessment of the contribution of idiosyncratic shocks to aggregate fluctuations in an emerging market using confidential data on the universe of Chilean firms. We find that idiosyncratic shocks account for more than 40 percent of the volatility of aggregate sales. Although quite large, this contribution is smaller than documented in previous studies based on advanced economies, despite a higher degree of market concentration in Chile.We show that this finding is explained by larger firms being less volatile and by weaker propagation effects across Chilean firms.