Diverging Trends in Macro and Micro Volatility: Facts / Diego Comin, Sunil Mulani.

Format:

Book

Author/Creator:

Comin, Diego.

Contributor:

National Bureau of Economic Research.

Mulani, Sunil.

Series:

Working Paper Series (National Bureau of Economic Research) no. w10922.

NBER working paper series no. w10922

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Diverging Trends in Macro and Micro Volatility

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2004.

Summary:

This paper documents the diverging trends in volatility of the growth rate of sales at the aggregate and firm level. We establish that the upward trend in micro volatility is not simply driven by a compositional bias in the sample studied. We argue that this new fact sheds some shadows on the proposed explanations for the decline in aggregate volatility and that, given the symmetry of the diverging trends at the micro and macro level, a common explanation is likely. We conclude by describing one such theory.

Notes:

Print version record

November 2004.