Factoring in the Micro: A Transaction‐Level Dynamic Factor Approach to the Decomposition of Export Volatility
利用法国1993-2017年出口交易数据，通过动态因子模型分解出口波动来源，揭示地理分散化对降低出口风险的作用。
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.