Replication data for: Market Exposure and Endogenous Firm Volatility over the Business Cycle

Hernan Moscoso Boedo, Pablo N. D'Erasmo & Ryan A. Decker
We propose a theory of endogenous firm-level risk over the business cycle based on endogenous market exposure. Firms that reach a larger number of markets diversify market-specific demand shocks at a cost. The model is driven only by total factor productivity shocks and captures the observed countercyclity of firm-level risk. Using a panel of US firms we show that, consistent with our theoretical model, measures of market reach are procyclical, and the countercyclicality of firm-level...
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