NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Diverging Trends in Macro and Micro Volatility: Facts

Diego Comin, Sunil Mulani

NBER Working Paper No. 10922
Issued in November 2004
NBER Program(s):   EFG

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.

download in pdf format
   (352 K)

email paper

This paper is available as PDF (352 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w10922

Published: Comin, Diego and Sunil Mulani. "Diverging Trends in Macro and Micro Volatility: Facts." Review of Economics and Statistics (May 2006).

Users who downloaded this paper also downloaded these:
Comin and Philippon The Rise in Firm-Level Volatility: Causes and Consequences
Comin and Philippon w11388 The Rise in Firm-Level Volatility: Causes and Consequences
Comin and Mulani w11503 A Theory of Growth and Volatility at the Aggregate and Firm Level
Campbell w3246 A Variance Decomposition for Stock Returns
Stock and Watson Has the Business Cycle Changed and Why?
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us