Diverging Trends in Macro and Micro Volatility: Facts

21 Pages Posted: 9 Dec 2004 Last revised: 17 Aug 2009

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

Multiple version iconThere are 2 versions of this paper

Date Written: November 2004

Abstract

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.

Suggested Citation

Comin, Diego and Mulani, Sunil, Diverging Trends in Macro and Micro Volatility: Facts (November 2004). NBER Working Paper No. w10922, Available at SSRN: https://ssrn.com/abstract=622636

Diego Comin (Contact Author)

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 )

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
48
Abstract Views
867
PlumX Metrics