Diverging Trends in Macro and Micro Volatility: Facts

Diego Comin () and Sunil Mulani
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Sunil Mulani: New York University

Macroeconomics from EconWPA

Abstract: In this paper we document the diverging trends in volatility of the growth rate of sales at the aggregate and firm level. The upward trend in micro volatility is not driven by a compositional bias in the sample studied. We also show that many other firm level variables display a similar upward trend in volatility. Finally, we argue that this new fact renders obsolete the proposed explanations for the decline in aggregate volatility and that, given the symmetry of the patterns at the micro and macro level, a common explanation is highly likely.

Keywords: Macro; Volatility; and; Micro; Volatility (search for similar items in EconPapers)
JEL-codes: E (search for similar items in EconPapers)
Date: 2003-06-09
Note: Type of Document - pdf; prepared on IBM PC ; to print on HP;
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Working Paper: Diverging Trends in Macro and Micro Volatility: Facts (2003)
Working Paper: Diverging Trends in Macro and Micro Volatility: Facts (2004)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpma:0306008

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