Diverging Trends in Macro and Micro Volatility: Facts

16 Pages Posted: 12 Nov 2008

See all articles by Diego Comin

Diego Comin

New York University (NYU) - Department of Economics; National Bureau of Economic Research (NBER)

Sunil Mulani

Analysis Group

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Date Written: September 2003

Abstract

In this paper, we document 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 renders obsolete 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 highly likely. We conclude by describing one such theory driven by market integration.

Keywords: Aggregate Volatility, Firm-Level Volatility, COMPUSTAT, Market Integration

Suggested Citation

Comin, Diego and Mulani, Sunil, Diverging Trends in Macro and Micro Volatility: Facts (September 2003). NYU Working Paper No. S-MF-03-14, Available at SSRN: https://ssrn.com/abstract=1300217

Diego Comin

New York University (NYU) - Department of Economics ( email )

269 Mercer Street, 7th Floor
New York, NY 10011
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Sunil Mulani

Analysis Group ( email )

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