Aggregate and Firm-Level Volatility in the Japanese Economy

YoungGak Kim () and Hyeog Ug Kwon

Discussion papers from Research Institute of Economy, Trade and Industry (RIETI)

Abstract: In this paper, we investigate the volatility of sales at the firm and the aggregate level using the longitudinal dataset of the Financial Statements Statistics of Corporations (FSSC). The main findings are as follows: (1) Firm-level volatility decreased until the mid-1990s but then increased again. (2) Aggregate-level volatility steadily decreased until the mid-1990s and has remained low since. (3) Decomposing the total variance of the growth rate of aggregated sales, we find that the divergence between firm-level and aggregate-level volatility is caused by the drastic decline and subsequent low level of the covariance of sales growth between different firms and the increase in individual firms' volatility.

Pages: 26 pages
Date: 2012-05
New Economics Papers: this item is included in nep-bec and nep-hme
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Citations: View citations in EconPapers (3)

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https://www.rieti.go.jp/jp/publications/dp/12e030.pdf (application/pdf)

Related works:
Journal Article: Aggregate and Firm-level Volatility in the Japanese Economy (2017)
Journal Article: Aggregate and Firm-level Volatility in the Japanese Economy (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eti:dpaper:12030

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